We greatly enjoyed the Colonial Villages Tour in Mazatlan. Not only was it the best shore excursion we took on this itinerary, but I'd rate it among the best we ever experienced. While it was not inexpensive (I believe it was about $50), it was definitely $ well spent.
Here's an excerpt from my trip report, located at CruiseReviews
Our Colonial Villages Tour in Mazatlan was a major highlight of the trip. This five-hour tour took us to several towns in the Sierra Madres, followed by a return to Mazatlan for a performance of the Papantla Flyers. Viewing life in the Sierra Madres was a fascinating experience. Our first stop was a brick-making yard at the foot of the mountains, where the bricks are manufactured by hand. From there, we made the long drive to the village of Malpica, where we saw artisans create floor tiles ($2 each -- we bought five) and where we stopped by a bakery for wonderful treats made in their brick ovens. Then, it was on to Concordia, where we saw cedar furniture being made in a large hut. Adjacent was an artisans' market, where we spent another $10 on carved wood figurines -- both were incredibly detailed. Further into Concordia, we stopped for a beverage at a restaurant (which had a nice courtyard and colorful interior) and walked about the town square. Then it was back on the bus for the scenic 50-minute drive back to Mazatlan. Once in Mazatlan, we were treated to a performance by the Papantla Flyers...Watching these men spiral downward from a 75-foot pole was breathtaking.
As for inexpensive "do not miss" excursions, I recommend a boat ride out to view Los Arcos in Cabo San Lucas. As wee did this through the ship, I can't comment on local operators. Have your camera handy for this one.