Growing up in West Texas, I’ve been to and through Roswell many times. Not a very exciting place despite it being, I believe, the fifth-largest city in the state. Eastern New Mexico is not very different from West Texas, so there was no really special need to go there when there were so many wonderful places in the state. The supposed UFO incident happened in 1947, and while I believe I heard about it when I was in West Texas, it hadn’t taken off to the extent it has today. I’ve heard that since my day Roswellians have started using it to promote their town, hopefully in just a fun way and not taking it seriously.
If you’re going to go all that way, then you should hit Albuquerque and Santa Fe while you’re at it. And Taos and even Las Cruces. Nothing exciting in Las Cruces, but it’s an okay little town and birthplace of the atomic bomb, only an hour’s drive or so from the capital. It’s at a higher elevation than Santa Fe, and I remember the eerie effect of seeing its lights up in the sky at night from Santa Fe. I’m not up on places to eat anymore, but Sadie’s and Baca’s in Albuquerque were tops when I lived there, while Tomasita’s in Santa Fe is to die for. I don’t know about Baca’s, but those other two I hear are still going strong.
EDIT: Oh yeah, I agree with the Carlsbad Caverns recommendation. Don’t miss that. And ya know, since you’re going that far, El Paso and Juarez are not that much farther.