The US security folks (I don't think they are with US Customs) who are on the bridge say that it is illegal to take pictures on the bridge. I've had friends who've had their film rolls taken out, their cameras confiscated, or the the "don't do it again" treatment. There are no warning signs anywhere & it is only if you are caught that you are told that is the law.
As of 5/2002, there is a drug gang war going on across the border in Nuevo. I'd stick to the touristy areas to avoid any trouble. Also, remember that not a few Nuevo Police are involved in drug trafficking, shaking down gringos, etc.... Yes, lots of folks go across to drink, shop, and eat, but locals have gotten killed at some of the nightclubs across.
Don't be afraid, just be cautious.
Check the Laredo Morning Times for further info.