Tough to say - as I've not been to Taos. But those in your list are quite common around ABQ and Santa Fe. My guess would be one of the salvias (sage), possibly a lavender - though I doubt lavender would get very big in Taos (?).

I think there are some large bushes on my way to work with purple flowers, I used to think they were huge lavender, but someone told me they were really a salvia/sage of some kind. If they're in bloom, I'll try to snap some pics and post them to see if they're the same thing you're wondering about. Was the foliage greyish in color like lavender and some salvias/sages?

All the guesses so far sound very possible, and I would definitely say Russian Sage, (not a true sage of the genus Salvia, but Perovskia). These grow like crazy here in Northern NM, are very commonly planted, and outrank the above-mentioned plants for size and conspicuousness. They are also in full bloom that time of year.
I imagine Russian Sage would do very well in Oklahoma too.

Good luck finding the one you're looking to plant.
Chris