We all have to live in the place that is the best for us.
For me, Santa Fe has been my first choice for many years now, and my husband and I plan to move there in the coming year. It has the climate and the atmosphere/culture and the scenery that we love. I realize it is not for everyone...and my view is that "to each his own".
Las Cruces would be prohibitively hot for me, and I would never consider it. But it's fine for those of you who love the heat and hate the cold.
I have done a LOT of research in Santa Fe, and find that YES, the cost of building/buying a home is very high. But we have saved and planned for years for that expense. I don't think actually living there is going to be a lot more expensive than a lot of other places. We are pretty frugal and live a simple life, and have never spent lots of money anyplace that we have lived.
Sometimes I find the Santa Fe bashing at this site a little hard to take, but then again, I guess I wouldn't want anyone who hates the place to consider living there.
Good luck to all of you who are searching for your perfect location in NM. It's very wonderful when you find it.