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Don't buy items made from tortoiseshell or any sea turtle products: it's illegal (Mexico's turtle species are endangered or threatened, and these items aren't allowed into the United States, Canada, or the United Kingdom). Cowboy boots, hats, and sandals made from the leather of endangered species such as crocodiles may also be taken from you at customs, as will birds, or stuffed iguanas or parrots. It isn't uncommon for U.S. Customs agents to seize seashells, so those and all sea creatures are best left where you find them.
Both the U.S. and Mexican governments also have strict laws and guidelines about the import–export of antiquities. Check with customs beforehand if you plan to buy anything unusual or particularly valuable.
Although Cuban cigars are readily available, American visitors aren't allowed to bring them into the United States and will have to enjoy them while in Mexico. However, Mexico produces some fine cigars from tobacco grown in Veracruz. Mexican cigars without the correct Mexican seals on the individual cigars and on the box may be confiscated.