Here is a list of movies shot at least partly on location in New Mexico. It comes from the book, Cinema Southwest; An Illustrated Guide to the Movies and Their Locations, by John A. Murray (Northland Publishing, 2000).
Northern New Mexico: The Man From Laramie, Cowboy, My Darling Clementine, The Legend of the Lone Ranger, The Light That Failed, Showdown, Groove Tube, Twins, The Hi Lo Country, Acoma, Way Out West, City Slickers, Silverado, Chisum, Wyatt Earp, Butch Cassidy and the Sundance Kid, Indiana Jones and the Last Crusade, Natural Born Killers, Sundown, All the Pretty Horses, Wild Wild West, Easy Rider, Milagro Beanfield War, Lonesome Dove, Lonely Are the Brave.
Southern New Mexico: King Solomon's Mines, Hang 'Em High, Stagecoach, Salt of the Earth.
At the Very Large Array, west of Socorro: Contact.
The book also lists locations of movies filmed in California, Nevada, Arizona, Utah, Colorado, and Texas.
To read an ongoing online discussion of movies filmed in New Mexico, see Best Movie Made in NM on the City-Data.com New Mexico Forum.