Having tried to buy games in Asia and bring them back, I can tell you that it's probably not worth the hassle. Games are cheaper in Canada than in Asia. I don't know about Mexico. US is cheaper, though. You could probably pick some up if you buy in bulk in upstate New York or Burlington if you're a snowboarder.
Besides, the boxes take a lot of luggage space. It's much more efficient to take everything out of the box since there is a lot of empty space in them, but then you'd lose the box.
You could buy small games like card games no problem though.
This reminds me. The first gateway game I ever bought was in Quebec. Trois-Rivieres. Blokus. And a pain to bring back home.
Cheaper games in México... hmmm, well, only traditional "low tech" stuff like Lotería and Matatena. Anything high tech has to pay the third world tax, modern board games more so, as they are luxury items here.
Rather, get some traditional toys, like wooden trompos (whipping tops) and baleros (cup-and-ball, though the mexican flavor is more like a flail --use with care ;). Not only are they pretty souvenirs (get your name engraved to make it extra special ;), they are great fun to play if you are into physical skill.