There isn't a single NM state park that I haven't loved. They are all awesome. That said, I usually don't spend time in Truth or Consequences. Planned it as a stop my first year in my rv, and ended up traveling on ... much as I love NM, that wasn't one of my favorite places. But I think the closest NM sp to it is Elephant Butte, and I've stayed there and loved it.
If you plan on spending enough time in NM, look into getting an annual state park pass. Pricey for a non-resident, but the lower rates are worthwhile if you use it enough, which you could do easily if staying a week or more at various locations. Their sp rates are already wonderful.
Here's my blog posts from last spring when I traveled across NM:
http://ontheroadwithbeth.com/blog/categ ... ew-mexico/ I was deliberately staying places and state parks I hadn't been to before ... so on my previous trip I can think offhand I stayed at Brantley Lakes and City of Rocks State Parks. Highly recommend each and every NM state park I stayed at. Some are not close to cities, so make sure you have everything you need. I'm not mentioning any of the northern ones, as you're talking about being there winter ... so those will most likely be closed, or snow-covered.
Beth
“Dare to live the life you have dreamed for yourself. Go forward and make your dreams come true.” ~ Ralph Waldo Emerson ~
"He who treasures the small things in life has found the path to true happiness"