We loved Cabo- our resort was on the San Jose del Cabo side and it's a super cute town. Many good restaurants (totally over priced, but it's a tourist town). Cabo San Lucas was much more turisty and there are far too many "vendors"
hasseling you to buy stuff. Overall though, we loved Cabo and can't wait to go back.
Check out the Grand Mayan, Cabo Azul (of course!), El Presidente, Royal Solaris and there is even a Best Western on that side. Some are all inculsive, so you can save some money (unfortunately not Cabo Azul-everything was way overpriced, but
still fabulous). Check Expedia or Travelocity for some deals
Haven't been to Mazatlan, so can't compare.