New Mexico is unusual in that it is a southern state with some incredible fiber resources. The Taos Wool Festival is the highlight of my fiber year every fall. Last year we also managed to visit Tierra Wools in Los Ojos on our trip to the festival. In Taos there is La Lana Wools which offers yarns and fibers dyed with natural dyes. There is also Weaving Southwest where I go just to lust after a Rio Grande spinning wheel every year.
Santa Fe has an incredible textile collection in the Neutrogena Wing in the International Museum of Folk Art (if you're in the area check it out just to see the gorgeous ancient indigo dyed Japanese firefighter's uniforms) and Miriam's Well offers the Santa Fe School of Weaving. There are also several neat fiber arts galleries on Canyon Road in Santa Fe including Thirteen Moons Gallery. Apparently they are only one of a handful of fiber arts galleries in the country. One time we visited Thirteen Moons we saw baskets made out of fish skins and quilts made of paper.
Espanola has the Espanola Valley Fiber Arts Center which offers demos and classes and supplies. Victory Alpaca Ranch in Mora has a gift shop and ranch tours of their 1100 acres. I haven't even managed to make it to these last two places yet.
Here in Albuquerque we have the most incredible LYS, Village Wools. Their class schedule is amazing and highlights local fiber pursuits with Navajo weaving and Spanish Colonial Colcha embroidery classes and even classes on how to make baskets out of pine needles. The Albuquerque Fiber Arts Fiesta takes place Memorial Day weekend at the fairgrounds. I've been to this event previously; the show is mainly art quilts but has some knitting related vendors and some fun hands-on demos like silk painting and bobbin lace.
These fiber resources are just the tip of the iceberg here in the Land of Enchantment.