Read up and know what you ACTUALLY need to drive in the Mexican state you're visiting. The agencies there, even the large franchisees, are infamous, for "mandating" that you buy their insurance at a very high markup. I deal with customer service on bookings all over the world and, by far, our biggest insurance issues are with Mexico, Israel, and the Dominican Republic.

Globally, the best rental agency for "no surprises" pricing is Enterprise, but they don't operate in Mexico. They do partner with National down there, so perhaps (I don't know for sure though), National might be a good option if you're looking for an honest assessment of what you actually need to meet legal requirements. There should be tons of Tripadvisor forums on this topic, too.