We also took an adventure in SW California. We started out by going over the Coronado bridge (with the "Life is worth it" anti-suicide signs) and then went South. We drove through the most SW city in the US and ended up at the border.
Needless to say we were chicken to cross the border. We didn't know what sort of identification is needed (we later found out that it's a passport or your Driver's License and a Birth Certificate). So instead we went back and forth over the foot bridge and were tourists.
So yea...last chance to turn around!