First of all, this is a great little city. Only 70,000 or so in population, but seemingly much larger due to the influx of tourist bodies and dollars that happens year 'round. During the winter, there's skiing (boy, is there ever skiing) at quite a few resorts around town. Also, there's snowshoeing and cross-country skiing in the national forest above the city. Keep in mind that the city itself is at 7000 feet, so you'll get winded climbing a flight of stairs.
If you plan to do anything in the mountains around town, plan to spend a few days to acclimate. A great place to learn the lowdown on local winter sports is the Skier's Edge, a family-owned ski shop located at 1836 Cerrillos Road. They're extremely friendly and helpful. My wife rented a pair of skis from them and they took the time not only to set them up for her, but to show her how it was done, step by step. That way, if she needed any fine tuning on the hill, she would be able to make minor adjustments on her own.
We stayed at the Days Inn at 2900 Cerrillos, which was fine. We rolled in rather late on a Wednesday night and were pretty hungry, so we decided that we would grab a bite to eat at La Carreta, a Central American "restaurant" that's co-located with the hotel. Prices were cheap, I'll say that much. However, you get what you pay for.
My wife ordered a beef taco, and it came to our table with about three strips of beef in a tiny tortilla. That's it--not even so much as a lettuce leaf. I had ordered the chicken fajitas, and was dismayed when they came to our table. First of all, what do you think of when you order fajitas? I'm thinkin' chicken, onions, red and green sauteed bell peppers, maybe some salsa. You too, huh? Well, apparently at La Carreta they make their fajitas with frozen stir-fry vegetables. I'm not kidding--I got a plate full of zucchini and broccoli. Granted there were a couple red peppers in there. Now, on to the chicken. I was thinking as I ate that it tasted a little weird, then I realized what was strange--it was turkey. Not just any turkey, but the last of the turkey that's in the fridge four or five days after Thanksgiving and it's just about to go bad (c'mon, single guys, you know what I'm talking about). Oh, and they only gave me one tortilla. Now, it was folded into four sections, so it looked like more initially, but it was only one. So, the moral of the story is, if you stay at the Days, run across the street to McDonalds if you've got the late night munchies.
Other than that, there really wasn't too much bad stuff. You can read the review on the Santa Fe Southern Railways "excursion" if you want more gripes, but all in all, the good far outweighs the bad in Santa Fe.