1

There are two modern arts museums (one showcases contemporary/modern Mexican artists, the other - international artists) in Chapultepec.
There are major galleries in Roma featuring modern/conteporary art such as Casa Lamm and Galeria Menical.
There is Museo Dolores Olmeda that unlike Frida's house actually presents plenty of Frida's and Diego's art.
There are plenty more to choose from.
As for Soumaya Museum, I think this is rubbish. Some people can't stand that a Mexican business assembled a grand collection using his wealth. So uncultured! Well, if you care for art and not for politics and rumors, you'll be satisfied. He went excessively for some particular artists, true. I saw no other major drawbacks.

2

Additionally, I would recommend to always check what's going on at Antiguo Colegio de San Ildefonso; they often have great international exhibitions but get there early if there's a hit show going on.

Great Mexican modernist José Luis Cuevas has a museum of his work near Zócalo.

Great exhibitions are often advertised in Metro or newsstands in the centro so pay attention when you´re there. It is hard to find good comprehensive listings of art.

And it is always pleasure to stroll through Plaza San Jacinto in San Ángel on a sunny Saturday when many local artists show their work.

3

There's also the Contemporary Art Museum down at UNAM and the Museo de Arte Popular in the Centro. I second the rec for San Angel's Saturday art market...really nice work being shown.

4

I visited the Colegio San Ildefonso this summer and second this recommendation; great contemporary art on exhibit.

The Museo Jose Luis Cuevos mentioned already is located on La Academia, a couple of blocks east of the zocalo. You may as well also visit the less well know Antigua Academia de San Carlos on the corner of Moneda while you're there.

And my strongest recommendation goes to the Centro Cultura de Espana which always has great exhibits of contemporary art from Latin America, free admission, in a lovely renovated colonial building on Guatemala, just behind the Cathedral.

5

And the Centro Cultura de Espana has a pretty good rooftop bar too.

6

Some of the art from the Dolores Olmedo Museum is currently not there, because it has traveled to an exhibit at the Art Gallery of Ontario until Jan. 2013. There is still a lot to see at the Dolores Olmedo, but specific famous works are missing from the exhibit.

7

Yeah and I just walked to Galeria Manical on Zacatecas and there is some sort of construction going on. I could not get from the workers whether it is a renovation or the property was sold and could not really look inside either. The sign is still there, tough.

Btw, if anyone is in D.F. righ now and is for few drinks in Roma around 8 pm, send me a pm.