1. Passport*
2.
3. Photographs 2x2 inches. Check photograph requirement here. *
4. Appointment letter from consulate.*
5. Filled out ORIGINAL DS156 and 157 application form (electronic copy).*
6. I-797 (H-1 approval from INS) - top and bottom part in ORIGINAL.*
7. Employment verification letter from your employer.*
8. Offer Letter.*
9. Pay stubs last few months.*
10. Copy of I-129 (petition filed by your lawyer on your behalf).*
11. Copy of LCA (Labor Condition Approval).*
12.Latest Resume.*
13. ORIGINAL master’s degrees' certificates/transcripts.*
14. ORIGINAL bachelor's certificates.*
15. Copies of tax returns.*
16. Social Security Card.
17. Driving License.
18. Business Cards.
19. W2s.
20. I20.
21. Latest bank statement showing enough money to survive.*
22. OPT - EAD Card.
23. Marriage Certificate.
24. Marriage Invitation Card.
25. pictures of workplace.
Some of the documents listed above came straight from the Mexico consulate website.
Apart from this list check my FAQ for more information that I might have to provide you.