When looking to travel outside the country, you need to consider your insurance option and because of the laws in those countries as well as your American Insurance policies, you need insurance coverage when you are there. Have you considered in your drive to Mexico that your personal auto insurance policy does not include coverage outside of the United States?
The first thing I would do is contact my current insurance carriers and make sure there is coverage where I am going to be traveling. This will prevent you from spending money you do not have to. After that, if you find out there is no coverage, or if you want more it is time to start looking at your foreign travel options.
All of these insurance policies will take into account the country you are traveling to, so higher risk countries will cost more for these types of insurance policies.
Every policy is different and your individual needs and situation will impact the type of policy you will get and the coverage that will be offered.