I have to disagree with the "Mountains are not as nice as the ones in CO" comment. (I know, to each his own)
I live in CO, and grew up in NM. I went to High School in Albuquerque, and got my first degree at UNM. All of my family is there.
The Sandias are unrivaled in beauty. And from the base to the top (Not elevation) taller than all of the mountains out here in CO. Also, the mountains in the rest of the state (up north) like the Jemez, Sangre, Pecos Wilderness, have thicker forests than that of CO. I took some of my CO friends down, and they were floored at the Pecos!
The fishing is just as good in NM as anywhere. All outdoor activities (as stated in former posts) are very common.
You'll find that the nightlife isn't quite as great as in the big cities, but Albuquerque (ABQ) is coming around. There aren't many REAL dance clubs, but there are some fantastic pubs and bars. It's certainly gentrifying, with old buildings converting into Lofts and Art Galleries sprouting up everywhere. In this area, ABQ is definitely an up-and-coming city, but has a long way to go.
Food-wise, ABQ is fantastic. You can get anything from Indian (east) to Indian (west). I can name several great Sushi restaurants, Thai, Vietnamese if you'd like. But the real mother load is the NEW Mexican food. (NEW emphasized cause it's def. different...and better) It's incredible. I miss real green chile, real sopapillas, and good rellenos everyday now that I'm up in CO.
The people are salt of the earth, but there is a gang-problem in NM. Which my buddies and family who currently live there tell me is getting better.
Another negative (as said in a former post) is that there are NO pro sports teams there. But the locals are insane with their fondness for the UNM Lobos despite their recent lack of success. I still contend that the PIT is the best place to see an NCAA basketball game. No place is louder!
As for the Humidity, that's definitely the exception, and not the rule. It's usually dry as all get out, which is great. If you go to wunderground (weather underground) and go to history, you'll see that in the last 20 years the humidity has always been blissfully low. Just drink lots of water and use lotion. LOL
I'm moving back after I graduate!