I have spent a few nights in Chihuahua, and hunted in the Sonora Mountains as well as the Yucatan. When hunting the Ocellated we stayed in Merida for two extra days before we headed to the jungle. In both places we walked to dinner at night. My wife and I walked to Walmart in Merida after 10pm one night. Never a moments worry. We took an extensive tour of some Mayan ruins by hiring a local to drive us around for the day. All in all each trip was outstanding.
You can find trouble where you look for it, no matter where you are.