Since my decision to eventually move to Mexico I have been trying to figure out how to get my FM-3 visa. The FM-3 visa allows you to bring in your household goods, to have multiple entries as a resident and you can get a refund of some of the tax you pay for your airline ticket. It must be renewed each year at the time you first obtain yours (in my case today's date in 2010). There are several services that can do it for you and they seem to charge between approximately $270 - 380 USD.
Since I live near a Mexican Consulate I decided to go over and talk to them. I did that last week and they gave me a list of what I needed to bring there. (2 passport sized photos taken from the front and 2 from the right side), $134 USD in cash, something showing income (I took 3 months of bank statements), a letter stating that you wish to reside in Mexico and your address there)
The Consulate in Los Angeles is open for the visa service M-F from 7am - 11am. This morning I drove the 4.5 miles there and took my paperwork and money in. Within 1 hour (a little less) I had my FM-3 visa.
When I enter Mexico I will enter through the Residence line and they will stamp it on the first page. Within 30 days I must register my address in Mexico. I will have 6 months from todays date to bring in my furniture (should I decide to do that) without paying duty.
So...if you are near a Mexican Consulate that seems to be the easier way to go but be sure to bring everything with you unless you live nearby as I imagine that could be more of a hassle than waiting until you are in Mexico and paying someone to do the leg work for you.