The sad thing is paying at the pump is probably the most risky thing you can do. I always pay inside now and lock everything up while I pump. Here in CO they'll crawl in through the passenger side WHILE you're pumping.
I lived in New Orleans, LA back in the early 90's when even the cops were dealing drugs, murder capital of the country and it was NOTHING compared to what Denver is now. At least you could stay out of high crime areas. This place IS a high crime area and I'm familiar with ABQ as well.. I was thinking of moving there with a job relocate some years ago and always check crime stats before I move. ABQ's property crime was off the charts.