Just came across this post by Yona Williams from a few years back on Unexplainable.net. It highlights some paranormal sites in New Mexico, including:

• Abandoned insane asylum in Albuquerque (corner of Edith and Osuna). “There have been some who have entered the asylum, claiming to have a black cloud hovering over them, taking photos of this sight as proof. The story behind this location is that a patient went so insane that he went on a murdering spree, taking the lives of several fellow patients, nurses and doctors. After the murders, the asylum was forced to shut down.”
• Children’s hospital: On 1113 University Boulevard in Albuquerque, you will come across a childrens hospital by the name of Carrie Tingly. There have been reports of glowing rooms located within unused areas of the hospital. Claims of black-robed images, as well as the sound of a heart beating accompanied by crying voices, have all been made.
• Holy Cross Sanatorium in Deming is located on a former World War I military base. This military base then turned into a tuberculosis hospital during World War II. A devil-worshipping cult settled at this location in the middle of the 70s. Witnesses have claimed to hear noises coming from the upper floor, as well as an unknown light shining near the fountain. There is an area at this location that has been nicknamed The Altar Room, where shadowy figures are reported to roam. Holy Cross’s negative energy seems to lure evil and destruction to this location.
• Fort Wingate Military Hospital: In Fort Wingate, there is a World War II hospital by the same name that was once a storage unit for weapons during the war. It also served as a hospital to treat the wounded, including soldiers who had lost their limbs or suffered from mental retardation. The hospital shut down after the end of the war following rumors that spirits wandered about the hospital in search of the things that would make them whole again. It is now a place where strange and odd sounds can be heard coming from the building.