As someone who grew up in Los Alamos (and worked at LANL for several years), I can tell you that Los Alamos is very different than the rest of the state of New Mexico (hell, even the rest of the world). That place is very ... unique.

That said, there is still some crime; I recall they busted a meth lab a few years back, but that sort of thing is a very rare occurrence. The local newspaper has a "Police Beat" which is usually filled with traffic violations.

I live in Phoenix too, and I have no problems (aside from FOX cutting out for a second occasionally). As far as I can tell, all of the stations seem to broadcast from the same location ("South Mountain"), so its fairly easy to point your antenna there. Of course, your reception is going to be based on what type of antenna you have, and how far away you are from the transmitters.

This website is incredibly helpful for determining what you'll need for getting the best reception:
http://www.antennaweb.com/

I live in an apartment, so an outdoor roof antenna is out of the question, but I have an indoor Terk HDTVa antenna and it works beautifully.

Another thing you'll want to keep in mind is that if you're close to the transmitters, using an amplified antenna (or the amplified portion, you can often turn it off) can actually make your reception worse because you're essentially amplifying the noise.