Shops and restaurants are within a block or two of the bridge, the main plaza is just a few blocks away, and pedestrian Hidalgo Street and the Zaragoza market are just beyond the plaza. If you drive across, just be sure you have Mexican insurance - easy to obtain and inexpensive on the US side. You won't need a visa if you're a US or Canadian citizen, but bring along proof of citizenship just in case. McAllen is well situated with access to every part of the warm and colorful Mexican Republic, the magic that is Mexico. Non-stop flights leave McAllen daily for Mexico City, and from Mexico City anything is possible.
Flights are also available to Monterrey and other Mexican cities from McAllen.
A daily train leaves Reynosa for Monterrey, and bus service to all points in the Republic leave from McAllen's bus station regularly. A number of bus tours into the interior are offered by McAllen operators, from overnight in Monterrey to two weeks in the Yucatan, and everything in between. Be sure to bring your car title, registration and your proof of citizenship if you plan to drive.