Here are some suggestions to help you get the most out of the New Mexico park system.
Camping in New Mexico state parks normally costs $14 a night for water/electric hookups, or $10 for dry camping. This is less than most states—for example, in neighboring Colorado you'll pay about $28 a night for W/E hookups.
But New Mexico offers an even better deal: the Camping Annual Permit ($225 for nonresidents) cuts $10 a night from camping fees. That brings your cost down to $4 a night with W/E hookups, or zero dollars for dry camping! The Permit pays for itself if you spend more than three weeks a year in New Mexico. No other state offers such a good deal.
Like most states, New Mexico limits you to a maximum two-week stay in its state parks.* The rule is "14 days in, 6 days out," and then you can return to the same park. Because many of the state parks are close together, it's easy to make short hops from park to park.
For example, you could spend a couple of weeks at Percha Dam, then drive seven miles up the road and spend another a couple of weeks at Caballo Lake, then return to Percha Dam for another a couple of weeks... or drive 33 miles north from Caballo Lake and stay at Elephant Butte Lake. If you want to spend the winter in the southern part of the state, or the summer in the mountains up north, it's easy to do... and you won't have to do a lot of driving, so gasoline costs won't break your budget.
* The limit was formerly 21 days out of 28, but NM changed it to 14 days out of 20, effective April 2013.
Some of the higher-altitude parks, such as Bluewater Lake, close for the winter... so from November through March, be sure to check the NM state parks Park & Area Closures page before visiting. For more immediate information, call up the individual park you're planning to visit. You can find each park's phone number by going to its page in this app and tapping the "Official web page" link.
This Pocket Guide covers only New Mexico's state parks, but there are plenty of other places to camp in the state. A variety of Forest Service and Army Corps of Engineers campgrounds and Bureau of Land Management areas beckon—too many to cover here. For example, there's the Corps' Cochiti Dam campground; the spectacular lava flows of the Valley of Fires Recreation Area; and the tiny but beautiful Vista Linda Forest Service campground. New Mexico's state parks are great, but don't be afraid to explore!
You can read about my own travels in New Mexico in my "Travels with Andy" website... you'll find lots of big photos there, and you might get some ideas about places to see.