En route to Ojo Caliente  on U.S. 285 about 10 miles out of Española , you pass the Relais & Chateaux–managed Rancho de San Juan resort. On the grounds is Windows in the Earth, a warren of vaulted-ceiling caves carved into the sandstone cliffs by artist Ra Paulette; visitors may hike to the amazing structure after registering at reception (closed after noon on Sunday and all day Monday).
Gourmet diners might want to coordinate a hike with dinner at the resort’s excellent restaurant (open to nonguests with reservations, Tues.–Sat., $35), which devises a new menu every week, with choices such as organic New Mexico lamb shank and pistachio-crusted quail.
The resort itself (505/753-6818, www.ranchodesanjuan.com , $285 d), scattered over 225 acres, is quite lovely; it’s 38 miles from Santa Fe  but worth the drive if you’re looking for luxury and solitude. Even the standard rooms have private patios and fireplaces.