The "municipal" course in town—well, almost in town, as it's off the Santa Fe Relief Route a good eight miles from the Plaza.
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On the campus of the Santa Fe University of Art and Design; visit the web site to see what's playing there. Comfortable, with good acoustics.
Screens a selection of foreign, indie, and art house films.
A well-regarded bike shop. They have just about everything you'll need for riding in the area, including recommendations, but unfortunately, they don't have rental bikes.
An outdoor amphitheater at the Santa Fe Indian School, popular for events in spring, summer and fall.