Although only a day trip, I found the El Paso / Ciudad Juarez relationship fascinating, as although the two cities are sepearated by the Rio Grande for all intents and purposes they feel like one symbiotic unit. Prehaps it is due to El Paso's isolated location in the States, the large Hispanic / cowboy culture in both cities, or the creek-size Rio Grande separating the two huge metropolises. Regardless, a visit across the border is well-worth it, and most likely (was) a common adventure for those from El Paso.
As of Jun 2009, however, Ciudad Juarez and the state of Chihuahua has been engulfed in a war between drug cartels, which has led to kidnappings and killings galore. Although in context the area might be no more dangerous than Guatemala City, it's still potentially a serious situation. The steps of the Mexican military to curtail the violence were abundantly clear once crossing over into Juarez; at any given street corner, a armed-to-the-teeth army patrol would pass almost every minute. The positive spin is that this makes (in my opinion) the city safe to visit, while taking out the normal day-tripping American crowds.
Logistically, driving requires Mexican insurance; however, walking over the Paso del Norte / Santa Fe Bridge is pretty trivial and parking is $3. Once in Ciudad Juarez, the street blocks become much more walkable. I found the Mercado Juarez, on the Ave. 16 de Septiembre [cross bridge, walk along Ave. Juarez ~1000m, turn left] very underwhelming; however, the real market on the other side of Ave. 16 de Septiembre [turn right at the intersection of Ave. Juarez] was fairly impressive.
Things to buy in Mexico can include: spices (dried), liquor (1L handle of Kahlua / Cuervo-type liquor for $10US at 13 MXN to 1 USD, random trinkets / silver, and knockoffs. Street food is ample. There are ATMs along Ave. Juarez to pull pesos. The allowance is 1L liquor for Texas residents / 4L liquor otherwise. To cross the bridges is $0.35 USD to Juarez / 3 pesos to El Paso when walking.