In Albuquerque - Quiltworks, on Menaul and Juan Tabo - great classes, great fabrics and notions, wonderful, knowledgable, fun (!) people. This is where I learned to quilt.
In Santa Fe - Santa Fe Quilting, on Cielo, more great fabrics and notions, some different things than Quiltworks so ideally you get to go to both.
Also in Albuquerque - Southwest Decoratives/Kokopelli Quilts -
5711 Carmel Ave, NE, Suite B - they emphasize southwestern fabrics and great southwestern themed patterns, also if you get lonesome for southwestern once you're back home, they have a great online store as well at www.swdecoratives.com
I see you are from Sugar Land, TX so I doubt you'll get lonely for southwestern! I've been there, nice place but HOT!