I did my check-out dives in Cozumel and it was awesome! I would dive there again in a heart beat! If you can do all your training back at home, though, you will enjoy your dives more because you won't have to worry about going down to the bottom, kneeling, doing skills, and wasting half of your dive.
However, like I said, I did do my check-out dives in Cozumel, and I must warn you of one thing. Make sure that your instructor is active with which ever agency you are expecting to get your certification card from. Our instructor told us she could get us a PADI certification, when in fact she was no longer current with PADI. It's not a huge deal now (we have SSI cards), but it was a big headache trying to get the mess all straightened out a couple months ago.