Buy insurance online to avoid police hassles. Do not buy at the entry (Tijuana entry) as cars are lined up - this will take alot of your time. $45 a week for an insured car will erase your worries once stopped by a MX cop - since they can tell that you by the license plate of your car.
Although in general most people probably won't get ripped off shopping in Ensenada, there are a couple things you can do to avoid giving bad merchants a chance to cheat you. First, if at all possible, take your purchases with you instead of having merchants ship them to you. Second, it may be better to pay cash instead of using a credit card. The pottery shop in the Plaza Marina shopping mall had good prices, but they double-charged us for shipping, didn't pack materials well, and when we turned in a claim with the post office for the broken pottery that arrived (shipped COD), the Post Office sent the refund to the shop, so we never got our money. Also, we paid by credit card and the shop charged us pesos at a rate that added about 15% to the price we had agreed upon in dollars.