You may find that the data for many of the World's developing countries are not the greatest. However, I've found fairly decent data at VDS Technologies the odd time. I've never downloaded anything for Mexico, so let me know if the data are of decent quality.
Good luck
EDIT -- Hi again. I had a quick peek at that link I sent you. It appears there may not be much data available at VDS beyond administrative boundaries & transportation networks (which I assume will include rail). Another option to get the rest of your data for free is The Geocommunity site. If you follow the link I sent, the process to get your data is very straightforward.
A heads-up, the data are rather coarse (read up before you use it ok). You will however, find that there are more categories of data here. You will have to sign up for an account, and you will get the data in an E00.zip format. This is an old ArcInfo coverage file format, and you can use your conversion tools in ArcCatalog to convert it to a coverage. If you've not done this before, follow the instructions at this link
Cheers
Addition RE: GeoCommunity
They actually do have Mexico data there.
