Personally this is my favorite of the capital buildings, though sadly I never had the opportunity to view it in person.
It was constructed in 1886, after money ran out for the other capital that became a court house. It was topped by statues representing liberty, justice, commerce and industry. It ended up costing 6 times the amount promised. It was Victorian, did not fit with the style of New Mexico or the landscape and most people downright hated it. New Mexicans are a picky lot who don't like to follow the culture of the rest of the US. So it should be no surprise that 6 years after opening, in 1892, it mysteriously burnt to the ground. It was 1892 and no official cause was ever determined, but I think if you take a good look at that building you will think, as I do, that it probably took a lot of effort to completely destroy it.