Yes when you walk down reveluccion (spelling?) have fun with the guys trying to talk you into their bars or restaurants or shops--some of them are pretty funny only a few are jerks. If you are young --you may like the clubs at night. Much of the crowed are students and some are in high school.
If you like to buy knockoffs- ladys bags all sorts of watches bring a detailed picture of the item-- the chinese have gotten really good-- at knocking off high end watches. Then tell them you want the good ones that many have in the back and get a guarantee and a receipt. Rolex, omega, Tag, other major swiss ones etc. The range of quality is wide so be familiar with what you are looking to buy.
If you plan to stay overnight you probably want to go down south a little- maybe ensenada. A good bar down that way was Papas and beer. It is probably still popular.
P.S. I have been told when you come back the border guys have gotten more serious about bringing perscription drugs back in so ask questions before you do .
Any other questions ask away. I am no expert but I do live in S.D. and I probably bring friends or family down twice a year.