Getting busted in Mexico would be NO fun. I'd rather get busted here in the USA. I never brought my car to Mexico, I always walked across the border. A friend of mine had a car that was specifically for going to Mexico in, because he didn't care what happened to it...
'98 M3, track beast
'06 Porsche Cayenne Turbo S 521hp daily driver
'07 KTM 990 Adventure