Albuquerque is pretty big, Santa Fe pretty, but expensive. I'd move to Santa Fe in a heartbeat, saving my pennies.

Here are three to visit, winters are milder than you'd think in Durango or Grand Junction Colorado, both are nice size. Also visit Moab, UT, small, excellent climate, cycling mecca and beautiful.

I also love the California suggestions, but be careful to study taxes in any place you are interested in, I've been shocked at some sales taxes in some communities there.