Santa Fe, the capital of the state of New Mexico, is the oldest capital city in the United States. Its nickname is "The City Different."
The first thing to remember about Santa Fe is that it is located in a high altitude desert (7000 ft or 2100 m above sea level). Drink plenty of water, and wear a hat and sunscreen if you'll be out in the sun.
(Trivia question: which saint is Santa Fe named after? "Fe" is the Spanish word for "faith." If you use Google, you're cheating.)