The season in NM actually complements Colorado quite nicely. The length of the season in NM, like Colorado, is dependant on snowpack. Usually it starts 2-3 months or so before Colorado and things peak down here right around when Colorado is just starting to go. From Santa Fe, Vallecito and Durango is about 3.5 hours away, Salida is 3.5 hours away, and Crested Butte is 4.5 hours away, so lots of good weekend options. In the fall in NM and Colorado is pretty limiting, but a few runs like the Black Canyon, Gore, and Catarack are usually still going. But this season for example, we started running the upper box in late Feburary and most of the creeks and rivers in Colorado didn't really start going until sometime in May when the Rio Grande was peaking.
As for skiing, guess it depends what your used too. If your moving from the east, Ski Santa fe is probably a lot of fun, but the expert terrain is a little limiting and short IMO. There are a couple fun runs though, just lots of people on the weekends. Taos is really good mountain (some would argue better than anything in Colorado) and worth the extra drive.