Okay, so you're having a great time shopping... you just got out of a really crowded area... what was that? Your wallets missing? Your purse is gone?
While walking close to people in crowded areas, get a good grip of your purse, put your wallet on your front pockets, don't lose sight of already purchased items. Pick-pocketing is common in any crowded area anywhere.
Many people go to Nuevo Laredo for the shopping, drinks, etc but be very careful. While out one night I had gone to the ATM and was promptly arrested after withdrawing money by the police. Bundled into a car and driven around on the town being asked questions about why I was in Laredo, etc. I was released in an alley way and stripped search. After finding nothing illegal they let me go and promptly drove away. Searching through my pockets I had realised they had stolen my money that I had just withdrawn from the ATM. Apparently this is a ruse that is common with the police there.
I would recommend travelling in a group of three or four and not using the ATMs in Nuevo Laredo or any other border town as I am sure they are all the same. Go only where the tourists go and do not stray away or you may find yourself in a lot of trouble, not only from criminals but also from the police!
If you are a tourist in Nuevo Laredo, watch out for these 3 things. There are a lot of people who sell stuff and will try and scam you into buying it for more then it is worth. Don't let them fool you. Also, you should always have someone with you while traveling through Nuevo Laredo because there are chances of getting lost and there has been a lot of kidnappings in the area.
Went down there with a friend, both of us are whiter than white with the most obvious southern accents, yet the border guards gave us much grief trying to get back across.
There's a cheap little flea market on the TX-side of the border that was well worth the stop.