I've hardly read any fiction the past 15-20 years, but Cormac McCarthy is the important exception. All the Pretty Horses is a master work, and the movie version is definitely worth seeing. It was directed by Billy Bob Thornton, who had wanted to make it 8 hours long due to the episodic nature of the storyline, but was fortunately overruled by the studio heads.
Blood Meridian is a gut-wrenching read about a band of ruthless Americans who hunted Apaches for their scalps and collected bounties from the Mexican government. This was a true historical event told in a way that resembles a nightmare. One critic described the book as "Hieronymous Bosch meets Sam Peckinpah as Faulkner would have written it." Can't think of a better description. I was about to write that I can't imagine it ever being made into a film, but just to be sure I checked the Internet Movie Data Base and see that a movie version is currently in development, no cast or director having been picked yet. That's gonna be a challenge, so don't wait for the movie.
Speaking of movies, McCarthy's No Country for Old Men is probably his best known work due to the movie having won the Academy Award for best picture. It doesn't qualify for the list of books set in Mexico because most of it takes place this side of the border. But if you only read one of McCarthy's novels, that should probably be the one.
