RIT has very nice climbing wall. D2 used to use it regularly. (BTW, Univ of Rochester students can also use RIT's climbing wall for a small fee.)
NMTech in Socorro has both a Sport Climbing and a Caving Club. There is world class sport climbing nearby at Box Canyon and The Enchanted Tower.
Rock Climbing Routes in Box Canyon, Central New Mexico | Rockclimbing.com
(D1 is a serious sport climber and she's met climbers from all over the world down at Box Canyon.)
Univ of New Mexico's very active Mountaineering club offers bouldering, sport climbing, traditional climbing, ice climbing, mixed climbing and canyoneering.
https://sites.google.com/site/unmmtnclub/
The university has three (3) climbing walls for students. Plus a low and high ropes course. Additionally Stone Age Climbing gym--largest in the state is only a couple of miles north of campus and on a bike route.
Students can take the ropes courses for PE credits.
Albuquerque sits at the foothills of the Sandia Mtns. and my med school D often runs out for a quick afternoon of climbing or bouldering as stress relief. Students can take the city bus line (free with student ID) out to the National Forest and climb. (And bring their mtn bike on the bus so they can ride back to campus--all downhill on well marked cycling lanes.) Rock climbing is about 20 minutes from campus by car, slightly longer by bus.
D1 also recommends the Ourey Ice Festival in January. Biggest ice climbing event in North America.
The Ouray Ice Park - Get Your Axe in Gear! 
