The US State Department warns that drug-related violence is common in border towns of northern Mexico. Nogales gets a mention because of a daylight shootout there in 2006. It is possible that you could stumble upon a shootout and be hurt in the crossfire, but the chances are very, very low.
Even the cautious State Dept says millions of Americans cross into Mexico safely every year. Of course, I'm assuming you're not intending to get involved in the drug trade in ANY way. buying and selling drugs in the border regions is a great way to significantly increase your chances of being hurt or killed.
Many travellers report that Nogales is a great town, with good shopping and a colourful atmosphere (away from the border crossing).
I guess you'll take Highway #15 south along the coast. The only advisory for the highway was issued by the US Consulate General in Nogales on May 11, 2010 following the murder of an American citizen. The consul advises you use extreme caution while driving between Nogales and Hermosillo (about 150 miles south).
The consul also advises that road travel in northern Mexico is safest in the morning and early afternoon.
Other than that just apply the usual common sense travel safety rules.
One word of advice from mexicoguru,com when filling up with gas, make sure the attendant has reset the pump to zero.
Have a great road trip (would love to read about it in a worldnomads.com travel journal). Phil almost 9 years ago