Yes, but only some of them. For example, many electronics (iPhones, iPads, Blackberry phones) are made in Mexico but as most of these are made for export, they have the same value as those sold in the United States.
Some other products, such as clothing and apparel or fruits and vegetables can be much cheaper.
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If you go from the u.s to Mexico yes its cheaper because you have dollars and your dollars turn to more pesos, but if you live in Mexico then its not cheaper....