The straightforward answer: Mexicans (in Spanish, mexicanos). This is the standard demonym for nationals of the United Mexican States and is universally accepted as respectful and accurate.
However, identity is personal. Some individuals may emphasize regional identities (e.g., chilango for Mexico City residents, regiomontano for Monterrey), ethnic heritage (Indigenous, Afro-Mexican), or other affiliations. In formal or polite contexts, using "Mexican" is always correct. When in doubt, asking someone how they self-identify is a courteous practice.