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This is the best general tourist info I've seen on my part of the world.
Re Mexican food: Mexican blends into local fairly seamlessly here. But there are different styles. It aggravates me to no end that people from elsewhere, even elsewhere in the U.S. tend to call any blend of true Mexican and U.S. food "Tex-Mex." Tex-Mex is it's own thing, and you aren't likely to get it far west of the Texas border. Here in Arizona we have more Sonoran style. In Southern California, they have more Baja style. In my opinion the best flavor is in New Mexican style, with New Mexico grown chilis. It can be very hot, but isn't always. Genuine Tex-Mex tends to be hot, but with less depth of flavor. Sonoran style traditionally isn't very hot, but recent immigrants from Mexico as cooks tend to make the sauces, the key to Sonoran Style, hotter than in decades past. California/Baja style has a lot more seafood influence if you like fish. It used to be the best "Mexican food" in the southwest was served at places with Native American cooks. With more Mexican immigrants there are fewer Native Americans hired for cooks. That means some hotter food, and some less variety in food. Near or on the reservation try a Navaho taco, a fried flat bread with local toppings, simple, but always surprisingly good.
Sadly, there are still Mexican themed restaurants in the southwest that think tomato soup is the same thing as salsa... And there is one of those not too far away from my house.