Hi Joey,
Albuquerque has a nice city-run shooting range west of the city, as well as three or four (depending on if you count the trap guys) active local clubs with ranges. There's a for-profit indoor range as well. Hunting is okay here, although you now have to draw for just about everything.
ABQ is expensive compared to the MidWest, in my experience, and somewhat expensive compared to the parts of Texas where I have friends (Abilene, Lubbock, DFW area). Food seems to cost more, real estate is considerably more (as Jetmaker mentioned there are a lot of Californios with cash money coming to buy houses, and it's presently a seller's market), and guns are more.
I've lived in Albuquerque since June of '88 (except for a year or so that I was off prosecuting in the Four Corners), and I'd be happy to talk to you about the city and the area in detail. Feel free to IM or email me and I'll send you my phone number.
cheers, erich