Thank you all for your replies.
I heard good things about the vanilla sold at the "Los Cinco Soles" stores in Cozumel. I also heard good things about a brand of vanilla called "Xel-Ha" (I don't know how you would pronounce that). I also heard good things about a brand of vanilla called "Azteca" and "Molino Real" (I hope they are spelled correctly).
However, on the flip-side I heard people say bad things about Mexican vanilla. I heard people say you have to be careful because there is allot of fake Mexican vanilla. And that the fake Mexican vanilla contains an extract called "Coumarin" which is both an anti-coagulant and causes cancer. I heard someone say that they would never buy Mexican vanilla due to the risk of getting the fake stuff containing the Coumarin.
So, I don't know what to believe. I guess I should just be careful and deal only with a reputable source when purchasing vanilla in Mexico.