David:
There are a tremendous variety of birds that you can see in New Mexico and Arizona, depending on season and site: mountains, desert, riparian. Climate is variable, too, and can range from bitterly cold to blisteringly hot.
You should check out some of the regular reports that you can find at birdingonthe.net and ebirds.com. Katy Penland provided some info about winter birding in SE Arizona that will give you a sense of where to go. It's available on this site.
I'm terribly partial to Bosque del Apache at any season. It's 100 miles south of Albuquerque, with closeby services for visitors. They are known for the sandhill cranes and snow geese that winter there, but as a wetland along a migratory route, there are so many other birds. Bald and golden eagles winter there, as well as numerous hawks. White pelicans migrate through in spring and late summer. Hummingbirds are resident in summer. Various herons and egrets nest on the refuge and ibis come and go over the course of a year. Unfortunately. the whoopers no longer come to the Bosque - that experiment failed.
If you decide you want the winter experience at the Bosque, you might consider avoiding November and December, when humans tend to overrun the place. Bird numbers are very high in January and early February, but tour groups and photo groups have declined. Weather can be risky at that time - you never know if it's going to be sweater weather or snowstorming!
If you match your birding interests with the seasons and areas, I know you'll have a wonderful experience.
Best wishes.
Ingrid