If you are going much farther than Ensenada you have to fill out a tourist card and pay a $5 tourist tax.
I've always taken the bus in and it's always been no hassle. At the border, a federale looks inside the bus and waives it on. Coming back home is pretty basic. If you're alone, expect a few more questions, if you're with a lady, it'll go a bit easier... he'll cover his badge and ask you what country you are a citizen of, check your ID/passport, and you're done.