Other big no-nos:
Do not bring back any whale bones or stuff like that gathered off the beach. They used to have a big pile of that stuff confiscated from gringos piled by the back door of the Customs building. Has to do with laws concerning CITES (endangered species). Even though it may be just a bone you found on the beach, the law forbids any importation of whale parts, ivory, and certain other items that were once part of a living endangered species. Granted, you didn't kill a whale just to have a bone souvenior, but they confiscate anything of this nature because it is considered trafficking in animal parts.
I know, sounds crazy, but it's true. Nobody is going say or do anything about a few shells or sand dollars gathered on the beach, just whale and dolphin bones and such.
Fireworks is another big no-no. You can buy them in Penasco and light them off and have a good time; you just aren't allowed to bring them back over the border.
At the Nogales border crossing, they used to sell beautiful live parrots on the Mexican side. However, those are also illegal to bring across, so I imagine that (uninformed) folks that bought them ended up giving them right back to the person that sold them in the 1st place. I always thought that was a pretty good business -- sell inventory that is immediately returned to you!
