A very well-known, very good local group (I'm hesitant to mention the name; some might find it derogatory... okay, they're The Pinche Gringos) played at the underground bar for New Year's Eve. People came from literally hundreds of miles away just for the bash!
New Year's Day was spent eating black-eyed peas (it's what you do in the South), playing music on the Trading Post porch, drinking a little beer, dancing in the road with happy feet, and in general bringing in 2006 in a most traditional way--enjoying each other. Even the dogs seem to know it's a special day. (I'm talking real four-legged dogs.) We also had a time for a little hike in the national park and ate great authentic Tex-Mex food. For a great time with nature and colorful people, it's the place to go anytime of year.
P.S. The only thing I'd recommend is a little extra time for when you get back home. It took me a couple of days to recuperate from my holiday.