Zia Theater mural, Fort Sumner, NM
I've tried before to compile a list of movies filmed in this state, but it's kind of a moving target so I've decided to leave it up to the professionals. Here is what I can find online.
Top Movies Filmed in New Mexico (indexed by location for all states)--I notice, however, that they've left out Believe in Me, filmed in Clovis.
State Theater, Clovis NM
FilmNewMexico, which features an online search by genre, title, and location, and is updated each year
Movies Filmed in New Mexico Compiled by title and/or year released for New Mexico USA from the Internet Movie DataBase
Zia Theater, Fort Sumner, NM