The most dangerous places, all of which are close to the US border, are Nuevo Laredo, Reynosa and Ciudad Juarez, and very far from where you would be diving. Of course nowhere is immune to trouble and Acapulco, a tourist destination, (also nowhere near where we recommend visiting) has had its share of bad press too.
The Mexican government makes considerable efforts to protect tourists, and major resort destinations such as Cancun, Playa del Carmen, Cozumel, Cabo San Lucas.
ATMs are best avoided unless inside a bank. It's safest to always carry some cash on you for times when you won't be able to use a credit card, and you should exchange your currency before you go.
You don't want draw too much attention to yourself, so unless you are vacationing at the beach or hanging out at a resort, wear pants and sensible shoes. Cameras, jewelry, watches and phones should be used with a degree of subtlety.