Just across the border to the south is Tijuana. It's easy to get to. My wife and I did not bother making the trip during this San Diego vacation, but I have been there in the past, and don't think it's not worth the time and hassle. Tijuana is not typical of Mexico - at least the Mexico I have seen far away from the US border and its day trippers.
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At Least Do This: If you feel that you must go to Tijuana just because you've never been in Mexico before, take the Trolley line to the border and walk across. Don't try to drive across the border. The shopping is a draw for lots of people, especially those who think it's great fun to haggle over prices. But beware of shoddy merchandise. Also be prepared to ignore the multitude of kids trying to sell you anything and everything - from gum to their big sister. As I said earlier, Tijuana is not a true Mexican experience.
Alternative: Stay in the San Diego area for now, and plan a real trip to visit some great Mexican locations at a later date.