Burn Lake is a small man-made lake, located at 1855 W. Amador in Las Cruces, New Mexico. Back in the 80's it was a pretty nice place to go and catch a few, as it was stocked with trout in the winter and catfish in the summer; some really large fish were caught back then. I tried my luck last summer and didn't even get a bite, but if you're looking for a close body of water to wet a line or just relax by the bank, Burn Lake is probably your best bet. The next closest larger lake is Caballo Lake, up by T or C, NM.
Fishing isn't the only thing to do at the lake, you can jog or walk along the rim on one of the plant lined paths or sit under a huge Cottonwood tree along the bank and just relax.
There are several covered shelters with BBQ grills and picnic tables available for your use and a small playground for the kids.
OK, here is an update, 2013: No water in the lake right now. If you are looking for a nice park or something fun to do in Las Cruces, check out www.MeetLasCruces.com for all sorts of things to do in Las Cruces, NM and surrounding areas.