I lived in a small town in the Sandias for a couple of years out there while I worked in ABQ, I absolutely love New Mexico. I spent a few weeks last summer camping out in Billy the Kid's old hideout out in the mountains in a canyon west of Montezuma, there's a lot of cool history and native culture is very strong here too, really cool to see.
If you're a nature person it's one of the best spots to be (the Jemez and Chama areas are some of the most beautiful places I've ever been, Taos and Angel Fire too), however if you're looking for anything with a city feel the closest metro areas are DFW, Denver or Phoenix which are a day trip away. You're pretty isolated but that's part of what I loved about it. (edited)