Apparantly there's a New Mexico now, as Monty Burns would put it. The state's capitol Santa Fe was visited, along with it's interesting architecture of claywork.
Capitol though it may be, Santa Fe is not the most famous town in New Mexico. That would be Roswell, and whether the 1947 landing occurred or not, the aliens are everywhere in this small military town. In the form of plastic mugs, fridge magnets, guitar picks and t-shirt, to name a few.