The Visual Arts are one of the chief draws to Mexico City. People come from all over the world to witness the unique spectacle. It's not just Art Museums although with 40 and counting, you will find those.
There's a special guide to Mural Paintings, here. But the art scene seems to turn around a few important neighborhoods:
Of course, all of those artists come from the schools and cultural centers that are all over the city. Many of these places will be happy to have you in and show you around.