My answer is that I'm far more afraid of visiting certain areas of Phoenix than to come here.
Much of what we hear are sensationalized stories about Mexico. We hear of cartels, smuggling, and kidnappings. While these things happen, they are blown out of proportion by the media. After all, it's been proven over and over that bad news outsells good 2 to 1.
True, crime and violence occur, but I've never seen it. Nor does the average citizen here. They say it's dangerous here if one is trafficking in drugs, guns or other contraband. Otherwise, it's peaceful. And at the least, no more dangerous than any other civilized country.
On another note my perception is that people here are happier and kinder than in the states. They greet each other - even strangers - with smiles. Young and old, they are unfailingly courteous and helpful.
Family and religious values are strong; almost like a trip back to the fifties when the U.S. shared similar values.
And they don't hurry. A common saying here is "I'll be back in a Mexican minute." Which kind of means they'll be back when you see them.
Check the links below to see a comparison of how the U.S. and Mexico compare on the happiness scale.
Wikipedia report
Wikipedia report