Banana Rose: A Novel is by Natalie Goldberg is perhaps the most famous novel set there in recent times.
Savage Pilgrims: On the Road to Santa Fe is a quirky memoir by a guy who really like D.H. Lawrence.
The crown jewel of book, perhaps not about Santa Fe, but by an author who spends some of her time in Santa Fe is The Fruitful Darkness: A Journey Through Buddhist Practice and Tribal Wisdom. This is basically a modern Buddhist sutra that cannot be missed. I love this book.
And if you'd like a historical potboiler, I've enjoyed Santa Fe Passage.
Please add some books in the comments, I need books to read about Santa Fe.