Get into an auto accident and not have insurance, go to jail. Steal something, go to jail. If you break their laws, the U.S. Government can't help you. The Mexican authorities are not out to get you, but they don't have to take any guff from you just because you're a Norte Americano. Just be a tourist, have fun, relax.
Travel is rife with stress and fear.
I don't care how much you travel, there should always be a little fear in you. It's in everyone. All you need is a little self confidence and a sense of adventure.