What I have on 
Colorado. 
In case you need someplace in New Mexico:  
Taos   ::::::::  
NM ByWaysA detour off I-25, after entering New Mexico, just off I-25, 
Sugarite Canyon State Park by Raton is a neat area. And a short drive from Raton is the Capulin Volcano Nat'l Mon't. 
A Neat Place.  ------  
But no CampingBetween Raton & Las Vegas, Not far S of Springer, just off I-25 is  
Fort Union Nat'l Mon't. 
At Las Vegas (older place than the one in NV) 
Storrie Lake State Park, but we have used the Walmart there to do a few overnights. 
Off I-25 between Santa Fe & Las Vegas, 
Villanueva State Park. It is off the 25 a bit. Somewhat off the beaten path. However, one can use NM 3 to cut down to the I-40 from Villanueva. We did that one visit. 
There is much to see & do in the 
Santa Fe & Bandelier Nat'l Mon't area of New Mexico -A Trip Report last summer.
 Bandelier Nat'l Mon't is off US 285. We were there in August last year. Not too hot at all. Cools off quickly after sundown each evening. I believe we were there years ago in July. Warmer during the day, but cool nights. 
Los Alamos is a very neat small city in itself. Free bus system with very neat buses. Very pretty setting up in the high country. Somewhat of a gated community as well. We only drove through & stopped at a SuperMarket. A nice town. 
http://www.visit.losalamos.com/http://www.losalamosnm.us/transit/Pages/default.aspx More on the Santa Fe Area Expanded & ABQ.  
More on the 
Sante Fe Area Plus. And  
Campgrounds in Santa Fe.
Or in Texas: Near Amarillo:  Never been to the state park either, but have read about it & would like to make it over there someday. 
Palo Duro Canyon State Park  as well as Caprock Canyons State Park, from what I have read, seem like very neat areas to see. 
Caprock Canyons State Park & Trailway would make a neat place to check out. One I would like to see. For perhaps a neat experience, 
Copper Breaks State Park near Quanah sounds pretty cool.