ok...been to rosarito many times...and the nicest car i've taken there was a sc430. parked it under ground with 2 guards watching it. came back and everything was just fine.
the city roads there...um....not so great.....the carne asadas...awesome....the foam fest.......wild
i personally like to drive across the border...cause once i walked and took a taxi and it was horrible walking back into cali buzzed. i guess they see drunk ppl everday and they really don't have the tolerance for them.
i would drive a beater there so you can actually enjoy the partying, drinking, wild girls, scenary, horseback riding and the food without constantly worrying about your car in the back of your mind.
but if you do decide to go...watch out not only for theft but for dirty cops too.
*story: once my friends drove there in two cars, they were on the road. they saw two cops and even made eye contact and then asked them if it was ok to make a turn there, and the cops looked them straight in the eye and said yes, as soon as they completed the turn, the cops stopped them and demanded money.*