TNM&O/Greyhound (800/231-2222, www.greyhound.com [1]), the local Greyhound affiliate, connects New Mexico with adjacent states and Mexico—along either I-40 or I-25. Coming from elsewhere in the Southwest, you may want to investigate El Paso–Los Angeles [2] Limousine Express (915/532-4061 in El Paso, 626/442-1945 in Los Angeles [2]), the biggest operator of bargain bus service for the Mexican immigrant population—its route runs east–west from El Paso to Los Angeles [2] but also connects Denver and Albuquerque [3]. It’s both less expensive and more comfortable than TNM&O, but it helps to have some basic Spanish when calling.
Arriving by car is very straightforward: I-40 and I-25 cross in the center of Albuquerque [3]; I-25 runs straight north to Santa Fe [4]. Two scenic but well-traveled roads run between Santa Fe [4] and Taos [5] (take the low road, Highway 68, in winter to avoid snow closures).
Links:
[1] http://www.greyhound.com
[2] http://www.moon.com/destinations/california/los-angeles-and-orange-county
[3] http://www.moon.com/destinations/santa-fe-taos-albuquerque/albuquerque
[4] http://www.moon.com/destinations/santa-fe-taos-albuquerque/santa-fe
[5] http://www.moon.com/destinations/santa-fe-taos-albuquerque/taos