I know nothing about steroids in Mexico, but I travel there frequently. Some of the stories...well, imagine a European who had never been to the U.S.A. flew in, took a taxi straight to the bronx, and got his ass kicked and wallet taken. Now he goes back to the airport, flies home, and tells all his friends that the U.S.A. is horrible and violent.
Guys going to border towns and saying that's representative of Mexico are no different. If a border town is all you have access to, don't go. But don't think that's representative of Mexico. I've been all up and down the Yucatan peninsula, had wonderful times in Veracruz, Villahermosa, Tampico. Yes, Mexican legal system is something of a joke. But if you're going to areas that the drug lords don't care about (again, you have to avoid border towns!) and not doing stupid shit, it's fine. And I don't walk around with a target on my back because most of the places I go they realize that tourism is their main commodity.
In a border town, they don't know if you're a tourist or an undercover U.S. agent. I have stopped in border towns occasionally, but I try my best to not set foot in Mexico if it's within 200 miles of Mexico City or 200 miles of the U.S.A. border.
Oh, and I sure as hell don't go down into South Dallas at night and walk around. That doesn't mean that Dallas is a hellhole, it means that there are safe parts and dangerous parts. Have I beat my analogy to death? Excellent!
Oh, and if you'll just get a decent tan then you'll blend right in anyway!