We spent a night at Bottomless Lake State Park a few miles outside of Roswell a couple of years ago. Nice park for a day or two and you are really out in the open country, which is what we wanted. After all, we were going to Roswell to see if we would see "them" :).
My DW went along with all this and we both actually enjoyed the UFO stuff. Kind of a hoot.
If you go from Roswell on up to the Baloon Festival, you might think about going through Ruidoso. Nice NF campgrounds around there and Lincoln, NM, is an interesting look into the past and right on the way.