Many visitors to San Diego also take a day trip to Tijuana, Mexico. If you drive to Mexico, you must purchase insurance. American insurance policies are not valid in Mexico. Also, Tijuana (and other cities in Mexico) has a history of corrupt police and it doesn't help that many Americans go across the border looking to buy things that would be illegal in the United States. Consequently, one must be on guard while visiting and take more precautions than they may be used to doing in the United States. As soon as you cross the border you will be accosted by street vendors looking to sell you trinkets or beggers wanting money. Every thing is negotiable, and as you walk away from the vendors, they will keep lowering their prices. All things considered, I would rather stay in San Diego or drive further south to the 'real' Mexico. The border cities tend to have more problems and less atmosphere.
Most car rental agencies will prohibit you from crossing the border with your car. Enough incidents where Mexican will bump you because you are a stranger and to collect some unspecified amount of money to let you go, has fed up the agencies enough to declare this band.