flyingpanda, I recommend you take the last U.S. exit at Camino de la Plaza; at the light take a right and then immediately turn right into the parking lot of Border Station Parking lot (where Mexicoach picks up and drops off passengers going to downtown TJ). They charge $9 for 24 hours, but the lot is safe and secure. You can either catch the Mexicoach for about $5 that will drop you off at their terminal on Revolucion & 7th, but if your going to AD's, it's better to walk a long block to the border, cross it and straight ahead is the taxi station that will take you directly to AD's (or anywhere downtown) for $5. If you have additional people with you, the taxi option is really cheaper than the Mexicoach bus.
But when you are ready to cross back into the U.S., the Mexicoach is the better alternative (if you cross back before 9 p.m.) because it travels through the bus lane, drops you off at Customs, where you (usually) pass through quickly, then go out the front door and catch the Mexicoach back to the Border Station Parking lot. If you take a cab back to the border, the pedestrian crossing will often have a long line and take quite awhile to get through.