Most people visit Nogales to buy some inexpensive trinkets, duty-free liquor and tobacco, and take a few photos as proof they walked across the border into Mexico.
Along the US / Mexico fence, there's some interesting murals on the Mexican side of the fence painted that might be worth a photograph.
Although many people usually police and merchants do speak some English, you'd be wise to learn some basic Spanish phrases before visiting into Nogales. You'll definitely garner more respect, and you'll be rewarded with better prices when shopping - than the stereotypical Gringo.
Keep in mind that for those who've never been to Mexico and are looking at prices, keep in mind that all prices are listed in Pesos which has the same monetary symbol as the US Dollar "$". You'll definitely get some laughs at your expense if you make the mistake.