I'm in NM but haven't been to Santa Fe in quite a while. Too many new age libs there for me.
Of course you will have to do a tour of Old Town and visit the church with the miraculous? or divine staircase. Not sure of the name of the church but just ask and someone will direct you to it. It really is pretty cool.
You'll probably want to buy some authentic Indian jewelry. Lots of vendors in Old Town and you can dicker with most of them. It may be a little harder to bargain with the metal prices so high but I'd try.
Go a little north and visit Taos and Red River if you get a chance. Beautiful area.