If you plan on staying near Gallup, there's a real nice NM State Park campground about 30 miles east of there. It's 5 miles south of I-40, but worth the drive. If you arrive after the gate is closed, you can park overnight just outside the entrance for free. If you have time, there are HUGE tiger muskies in the lake. A few years ago, the NM state record came out of there.
Note: Info below is a couple of years old, so rates may be a little higher.
Blue Water State Park, NM
30 Bluewater State Park Road, Prewitt, NM 87045
GPS: 35° 18.333'N 108° 6.340'W
Website: Bluewater Lake State Park, New Mexico
Tiger Muskies at Bluewater Lake State Park - YouTube
Gate open 6:00 AM to 9:00 PM. OK to park overnight outside entrance, if gate is closed.
Paved roads, some sites have water and electric. Dispersed camping on shoreline $8, regular sites $10, electric $14, water & electric $18. Dump station.
Note: Exit I-40 at milepost 63. Do NOT use park entrance via milepost 53, and NM Hwy 612. That is the old park and is abandoned; a real dump.