I'm in the Albuquerque area, and I like it here. I'm originally from Texas, but I've lived most of my life here.
I think it's funny that most people I meet that are from somewhere else say New Mexico sucks, but it really doesn't.
There is some beautiful scenery here (both desert and mountainous), rolling hills, and some good, honest mountains. Nothing extreme. The southern half of the state is mostly flat, unexciting desert. There is a lot to see and do, a lot of tourism (Carlsbad Caverns, the world-famous Ballon Fiesta, etc.), interesting culture, art galleries, museums, etc.
The gun scene is friendly. Yes to hi-caps, yes to "assault weapons", yes to full-autos and suppressors, and yes to open and concealed carry. NM state law considers your car an extension of your home, so you can legally keep any handgun or long gun loaded and concealed anywhere in your car.
Theres plenty of areas to shoot, as long as you stay out of Albuquerque (city ordinance prohibiting propulsion of projecticles within city limits).
As mentioned, Calibers indoor shooting range (a bit expensive to go there often) and Shooting Range Park (my favorite). There are also many "informal/unofficial" shooting ranges. Also as mentioned, weather is consistently nice. My only complaint is extreme temperature swings during certain seasons (freezing cold in the mornings but hot in the same afternoon).
There are several good gun stores. Ron Peterson's is an excellent store, so is Los Ranchos Gun Shop and Shooter's Den. There are also a few more in Albuquerque as well as Rio Rancho.
Our local Class III dealer (August Arms) closed down (due to some issues with the owner's wife). I believe there is somebody in the Las Cruces area dealing in NFA items.
Crime is like any other big city, you have your bad areas and your good areas. There is a lot of gang activity in the western and southern part of Albuquerque, as well as drugs/prostitution along Central Ave (the drugs are everywhere though). The police are very active and seem to stay on top of things.
Overall, I think this is a great place to live. Lots of sites to see and I've met great people.