Women do not frequently travel alone in Mexico, including driving alone on the highways. Walking on the street could net you a catcall, and walking alone at night is not advisable except in well-protected tourist areas. I've known people who have had uncomfortable experiences in crowded places such as subways. In general, though, Mexicans are extremely gracious, and will help a woman carry heavy items, open doors, and provide information, among other courtesies.
Note: This information was accurate when it was published, but can change without notice. Please be sure to confirm all rates and details directly with the companies in question before planning your trip.