I friend was kidnapped about ten years ago. He owns some manufacturing plants down there. He was lucky, he escaped after two weeks.
Don't wear the trappings of a wealthy person, expensive cloths, Rolex watches and such.
Never try to take a firearm, drugs, ammunition and such into Mexico, their laws do not work like ours do.
Never strike a Mexican citizen unless your a Mexican yourself. If you get shortchanged or some other violation of your dignity, point it out politely to the offender, but do not hit them or grab at them. Mexican cops can get downright brutal over that issue. It will not matter if you were in the right or not.
I had another friend who made that mistake down in Ensenada after being shortchanged in a bar. It took six months and many thousands of dollars for his family to bring him back across the border. He had been tortured and beat repeatedly during that time. I'm doing a quick gloss over, it was much worse. That was about twenty or so years ago.
Mexico is a wonderful place, I've had many good times down there, all you have to do is not play the rich ugly American and you will do fine.
-John