I grew up in the area and started skiing and boating while living in nearby Odessa. There's some good canyons to run on the Rio Grande near Big Bend Nat'l Park, some that actually have rapids. Also the lower Pecos above Amistead is boatable if you can catch it when its running. Other than that, the closest boating is in Northern NM (Taos Box, Racecourse and White Rock Canyon on the Rio Grande), upper Pecos and the Rio Chama. The Gila and San Francisco in western NM also have some good runs when they're running, which isn't often. The Middle Box of the Gila is my favorite.
Ski Apache near Ruidoso has good skiing when there's enough snow. The runs aren't that short and it has plenty of black diamond runs. Its actually one of the better places to ski in NM after Taos and Santa Fe. Otherwise, ski Northern NM or Southern CO.
Guad Mtns are also good for hiking if you're in to that.