On foot
Most people simply park their cars in Nogales AZ, and walk across the border into Mexico. Typically, you won't even notice any border police on the Mexican side of the border so entrance into the city is fairly easy. Keep in mind things may change with recent headlines of gun battles at the border, so be vigilant and aware of your surroundings, but don't be paranoid about visiting the city.
If you are walking across the border from the United States into Mexico, do not forget your passport, US Passport Card, and/or your alien registration card commonly called the "green card". You are required to have such documentation to cross into the US side of the border. A driver's license is acceptable documentation for US Border police - only if it is issued from a US state that participates in the Enhanced Drivers License program at the time of writing this entry only drivers licenses issued from: Michigan, Vermont, Washington state, and New York are acceptable. Lack of such items will prolong your ability to cross the border, as you'll be subjected to questioning demanding proof of US citizenship or legal residence status.
By car
U.S. I-19 South
Mexican Federal Highway 15D Carretera Federal 15D North
Be aware that you must have auto insurance that is valid in Mexico.
Generally speaking, U.S. / Canadian auto insurance will not cover you while driving inside of Mexico. If you are simply making a day trip along the border at Nogales, it might be much more of a hassle to bring your car across the border. Insurance issues, and very long waits to cross the border back to the US side wait times are sometimes in excess of two hours are usually pretty good deterrents to just park your car at a more secure location on the US side of the border such as Ed's parking - which used to cost about $6 (US Dollars during the daytime).
Americans may travel up to 12 miles 20 kilometers inside Mexico without a tourist permit/vehicle permit. Beyond that distance, or if you intend to stay more than 72 hours in Mexico, a permit is required. Vehicle permits are available at the 21 km mark in the immigration and customs office. Passport, drivers license, and proof of Mexican insurance are required for processing an application for a permit. Permits costs 170 pesos and must be paid to one of the banks listed on the application form.
Rental cars from the US must have documentation granting authorization to the driver on the rental agreement to bring them across the border into Mexico; otherwise, you may be suspected of stealing the car.
Driving around the city is a real hassle. Expect bumper-to-bumper traffic inside the city, and moderately congested traffic along Highway 15 south. Watch out for jaywalkers at all times when you're driving along the border.
By bus
Shuttle buses run from both sides of the border daily. Be aware that US customs will stop and search these shuttle buses for drugs and people attempting to cross the border without paperwork, so expect delays - and questioning by US police if drugs are found in an unclaimed suitcase found aboard.
Buses are pretty much the main mode of public transportation within Mexico. There's several busing companies throughout Mexico. Two of the main carriers are Tufesa Auto (http://www.tufesa.com.mx/...) and Estrella Blanca (http://www.estrellablanca...). For Executive lines see TAP (http://www.tap.com.mx/).