There are a couple local places to know about. Woodworker's Supply of New Mexico is on Alameda, just off the highway. They have many of the same things offered by Rockler, Woodcraft, etc., and they're all in stock. There's a new Woodcraft Store in ABQ also. When you go there, ask for the contactor's catalog... there are a lot of items that don't show up in their regular catalog, such as special Blum hardware, etc.
Albuquerque Hardwoods has the best quality hardwood, and I found them to be very trustworthy. Because there is very little hardwood in New Mexico, costs are a lot higher than the northern US.
By the way, the best local food is a non-tourist restaurant called Los Cuates. You want the one on Lomas Blvd.