Strangely, I've never been able to get a job in Albuquerque, but I have worked here in Socorro and in Española, of all places. I did contracting in Albuquerque and started my failed business there. You can certainly make a decent living at it, but if you're motivated largely by money, your friends in Chicago and the Bay will ruin your self-esteem. There are always openings around. Rural ones, too—we're looking for a group lead software engineer in my group at the NRAO right now.
Most of us are working for less than industry rates, some substantially less, depending on the location and the kind of work. People working at the labs and Boeing make probably the best money but put up with the most crap. There are a few medical/dental firms in Albuquerque, Xilinx and some other random stuff. I honestly have no idea what they're like. Aerospace. A lot of government contracting, a lot of Manpower-type contracting too. The right skills seem never to go out of fashion—Windows, Oracle, .NET. It's funny, because the southwest used to be kind of a big unix shop.
With specialized skills, you could be "the guy" in Albuquerque without being terribly special—Rails, Node.js, etc. Last time I went to a Barcamp up there about 12 people showed up and most of them were essentially designers.
If you want to work as a software engineer in Santa Fe, I'm sure you can find a position there, but you may need to be resourceful to find it. State government is there, for instance. They outsource nearly everything but I'm sure they have a few developers in a basement somewhere. There's the eponymous Santa Fe Institute. There are colleges, most in the spectrum past non-technical and into unreality, but a surprising number of kids show up at NMT from Santa Fe with a strong background in CS. They have to be getting it somewhere there. I'd imagine there's small businesses. Santa Fe has one of the higher costs of living in the state, so maybe the pay is closer to industry standards, but it's just a wild guess. There are resorts up there with expansive web presences that need to be maintained. The casinos always have strange openings too, but they tend to be recycled frequently due to political upheavals.
It's a good question. It's a pretty rarefied market. If you want to be here, I'm sure you can make it work, but if you're in it for wealth do a stint in the Bay and bring it back with you. :)