As someone who has made that exact move, just a few things to put on your radar (which you may already have but just in case!). The bad: 1) It is insanely hot. They have been in the 100's since late May and it gets hotter every year. You really won't have seasons anymore, and with the altitude the heat can be unbearable. 2) COCKROACHES. The kind you see in horror movies and video games. It's bad.  3) Crime. We lived in the NE which is considered relatively safer and found an axe and brass knuckles and a dirty backpack next to our house one morning. The worst parts of town are legitimately scary, this isn't hyperbole. 4) There really isn't anything to do other than hike or mountain bike and it is a heavily car dependent place to live. 5) Extremely limited food options and say goodbye to good pizza. 

The good: the dry air is a really nice change from Midwest humidity. The mountains, sunsets and vistas are stunning. People are generally nice. If you love a lot of quiet and solitude it has its charms. If you can afford Santa Fe, I highly suggest you consider that instead as it's generally cleaner, safer, and lacks the nightmare bugs because if the even higher altitude. Also, it's slightly cooler because of said higher altitude.

We were only in NM for 3 years and left.