If you use your head, you should be fine. Don’t do anything risky or illegal. You should consult the US Immigrations website before traveling:
http://www.cbp.gov/xp/cgov/travel/vacation/kbyg/prohibited_restricted.xml#top
You should know that if you bring alcoholic beverages back into the US, even if bought at a duty-free store, that they will likely be confiscated. Also please take note that in Mexico, you do not need a prescription for pharmaceuticals and the cost of pharmacy drugs are usually a bit cheaper than in the states. As a consequence, US Customs agents are routinely asking tourists coming into or even THROUGH the states if they are carrying pharmaceutical drugs, prescription or otherwise and they are CONFISCATING prescription drugs. Obviously, Homeland Security knows what’s best for you and is trying to protect you from yourself.