I'm in Mexico right now too. I can't wait until I'm done with the missions for those army guys; the idea of acting as a government mercenary who helps gun down rebels and find women for the colonel to rape is extremely distasteful to me, and I really wish I had a choice whether to do those missions. Right now I'm playing through the game being as honorable as possible. I've only had two bounties so far: one was because I HAD to steal a horse in one mission, and one from accidently killing a civilian during a shootout.
Also, does anyone else get attached to their horses? I felt really bad when one got caught in the crossfire of a shootout, and then again when I had to leave one behind when I crossed the river to Mexico