From CNN.com: Americans save on gas in Mexico, but costs may hit later

But the savings might come at a cost: Mexican gas is made with a different formula -- containing more sulfur -- which could hurt your car in the long run, according to Stephen Mazor with AAA's Automotive Research Center.

That fuel mixture can ruin the emission control equipment on American cars and cause them to fail emissions tests.

Obviously, only something you might attempt to do when living close to the border.  A friend of mine has driven from NYC to NJ to get cheaper gas.  Even with the $8 toll, he still saves enough money to make it worthwhile.