Since I live in North Carolina, pretty close to Wilmington, and I lived in Santa Fe, New Mexico for 7 months, I have a working knowledge of the landscape and climate in both states. I'd take New Mexico over North Carolina, unless my movie had to be shot on or near the ocean. The scenery and climate are much more friendly in New Mexico, in my opinion. North Carolina is humid, it rains often (and many times without much warning), and the landscape is just miles and miles of pine trees, with a couple of lazy rivers, and a rather uninteresting coastline (wide, flat, sandy beaches - mostly blocked by private property). The city of Wilmington may be a nice shooting location because it is a pretty little town, but I think Albuquerque would offer more range.
Of course, it may all come down to financial incentives. I'm not sure how those compare from NM to NC.
p.s. If you do come out to North Carolina, be sure to look me up!