The reason it's so big? It fights tarantulas, paralyzes them, then drags them back to the wasp nest to lay an egg on them. The egg hatches and feeds on the living, though paralyzed, tarantula.
http://mypestprevention.com/2011/05/1077/
Typically one to two inches long, so that's a particularly large specimen.
Also the state insect for New Mexico.
Why? Because New Mexicans be crazy, yo.