it kind of depends on where you're coming from and where you wanna go in mexico. if you're in cali (so if you wanna check out the baja peninsula and later catch the ferry over to the mainland), i'd recommend againt tj because it's a shitty first impression of a beautiful country. i'd opt for calexico/mexicali instead. cd juarez/el paso isn't by any means safe, but it's a great way to get to chihuahua where you can catch an amazing train ride thru the copper canyon and down to the coast. if you happen to be traveling thru texas, i'd cross at nvo laredo and head for monterrey and further south. i'd say calexico or el paso is your best bet.
now matter where you cross, i recommend you catch a bus and get the fuck away from the border. once you're in the interior, it's cool to start thumbing it and sleeping outside, but dont risk it anywhere near the border. also, buy yourself a GUIA ROJI (awesome road atlas) it's totally worth the 200 or so pesos. if you're walking across the border, you'll need to ask around for immigration (it's not always right next to the crossing point, and you definitely wanna stamp in and get your tourist card). with the exception of a few spots, the north of mexico isnt that cool. it's much more expensive than the centre and south of the country, there's a supermacho cowboy vibe, and the extreme distances between cities makes hitching complicated. get south, have fun