Many states and towns have one of the best genealogical resources just setting there waiting for you to use them, your State, County or City Library.  Even small towns have a library and are just waiting to help you.  Now days it is possible to borrow a book from almost any large library, right from your home town with the interlibrary loan.  The National Archives give a good selection of data online for your searches. In the larger cities the libraries make Ancestry.com, Heritage Quest and Footnote available in the library or home use with your library card.

Archives

New Mexico Archives

New Mexico State Library

University and College Libraries

County, City and Town Libraries