You MUST have insurance if you are driving a US or Canadian car, truck, RV or other vehicle across the border. If you are renting a car in the US you will need to pay an additional premium to be covered across the border.

You can buy auto insurance on the border, but buying auto insurance at a retail outlet (ports, convenience stores, supermarkets) will almost certainly cost you more. Mexican travel insurance is a must for someone who plans to drive into Mexico. If you are going to be driving in Mexico as far south as Mexico City, you should definitely purchase Mexican travel insurance.
You do not want to return from your vacation in Mexico knowing little about the country, except what is inside a Mexican jail and use your vacation money to pay a fine, a fine that resulted from an accident. Save yourself the time, agravation and expense buy Mexican Tourist Insurance.