The legend is real! E.T. [the 1983 Atari game], was indeed buried in New Mexico. One of the main criticisms of the game was that you fall in a hole at the beginning and can't get out. Irony.
A Microsoft-backed documentary crew took to a landfill in the desert town of Alamogordo, New Mexico, in an attempt to prove that Atari had in fact buried thousands of E.T. the Extra-Terrestrial cartridges there. It appears they succeeded.