Car Rental Insurance

Unlike in the US, your auto insurance does not also cover a rental car.  Also, the auto insurance that comes with a credit card in the US also doesn't work here in Mexico.  American Express has a Premium Car Rental Insurance that covers Mexico (and most other countries) for collision insurance (which is the very expensive insurance that the car rental place will try to sell you).  You have to sign up for it, but it only costs you when you use it, and the cost covers the entire rental period up to 30 days.  It's $20US or $25US depending on what plan you select while the same insurance that the rental company will sell you is about $35US/day.

Keep in mind, it is only for collision/comprehensive -- scratches, smashes, and dings to the rental -- so you will still need liability (Responsabilidad Civil) that the car company will sell you for about $15/day when you pick up the rental.