Most of the US citizens living in Mexico are illegal. That is because they have mexican parents (or relatives), even they never ask for the mexican citizenship. My wife is an example. She was born at Chicago, and lived there until she got 10. Then she came to Monterrey where she studied. I met her while in the College. She got a degree in Dentistry. I am a Physician. We live in Monterrey.
Now, believe it or not, there are many people here from USA, who seems to be hiding from some kind of autority. I remember a white man who lives in poverty. He is an american citizen. He does not speak spanish. And he works "watching" our cars at the parking lots while we go to the cinema. I allways ask him where is he from, and why is he at México. He doesn't want to answer me. He just answer me with a "God bless you".
Now, if you are at México, and you are not breaking any rule, nobody is going to contact you about your immigration status. If you are thinking in moving or visiting México, let me give you an advive: Do not bring guns or any kind of weapon with you. If you are catched, you will be at jail for a very long time (probably years).
Mexican reality is not as you can see at the TV shows. Even we have problems, and thera are small towns in rural áreas who meet the tipical scene, we have big cities, a lot of universities and most of the people is working or studying hard.
But do not mistake, you wont have a "better lifestyle" crossing the border. Probably you'll get cheaper services and very good and cost effective private Medicine, but jobs are not well paid. Probably if you talk about family way of life, or traditions related with values, yes, in many places of México you can feel comfortable with it.