We just visited a couple who are leaving from Comox on a Coast 34 to sail to Mexico. Before the visit, I tried to think of a short list of things I wished we had known before we sailed. Here it is, admittedly incomplete and uneven in importance :)
1. Checking in to the US. The coast is divided into different jurisdictional areas. If from Canada, you must check in to US customs and immigration (obviously), but you also need to phone in to each new area as you proceed down the coast. You can get a list of phone numbers and names for each area to call when you first check in. Carrying a cell phone is useful because otherwise you have to land and find a land line to call from.
2. Liability insurance is required in Mexico by marinas and storage yards. It is quite inexpensive and we have been told you only need the minimum (costs about $200) because the Mexican legal system is not supportive of huge law suits. You can buy liability insurance beforehand via phone or online. http://www.bajabound.com/boat/faq.php
3. When you sign in to Mexico and get a temporary import permit (TIP) you will need your engine serial numbers. You can also buy a TIP online, we have heard.
4. Almost all the paper and electronic charts are very inaccurate in Mexico - especially in the Sea of Cortez and south. They are off by miles and not consistent in their inaccuracy. Some newer GPSs allow you to correct for this and there are some electronic charts that have been corrected, but do not rely on your GPS position corresponding with the chart without verifying this. The detailed chart for Ensenada in the chart book we used was off by 2 miles!
5. You will need to clean your hull much more often in the warm, rich waters, particularly near river mouths. You can hire local divers who use compressors at marinas for about 1 US dollar per foot of boat length (or water line length in some cases). If you do it yourself, plan on becoming very good at holding your breath or use compressed air.
6. In some places small jelly fish are an issue while snorkeling. Wearing leggings and long sleeve shirts helps or you can use a full wet suit or lycra jelly fish suit.
7. Dental work and medical work is cheap and of decent quality. We had our teeth cleaned for $35 by a dentist who did a thorough job. We talked to cruisers who had mole removal and other minor operations for far less than they would cost up north. Quality of care varies so ask local cruisers for advice.
8. A reliable autopilot with back up or in addition to a wind vane make the long downwind sail less stressful. We were always worried that our little wheel pilot would fail.
9. There is an excellent newer guide to cruising the Sea of Cortez available from a lovely cruising couple who publish it themselves in Washington state: See http://www.exploringcortez.com/ It is hard to buy in Canada, but can be picked up along the way (Downwind Marine in San Diego has them) or you can order it online. It is far superior to the other guides we bought that are more general (Raines, Charlies Charts).
10. There are a few food/drink things that are hard to get or very expensive in Mexico: Nuts, good chocolate (Trader Joes is a good place to stock up in California), good inexpensive wines (buy in California), black tea (the Mexicans seem to mainly drink herbal teas and coffee), sharp cheeses (most Mexican cheeses are softer and have a milder flavour).