Well, the Confederacy did have a short-lived "Territory of Arizona," which comprised the southern halves of what are now Arizona and New Mexico. Had the Confederacy succeeded in ending the war at the border of California, you can be certain they would have attempted to spark a secession in southern California as well. There were a great number of Southern sympathizers in California and there was an abortive secession movement there in the 1850s.

Before the war, Southern elites collaborated with secessionists in northern Mexico, who wanted control of their states (and any tax and customs revenue associated with that control). The short-lived Republic of the Rio Grande is a prime example. It's very likely that, again, had the Confederacy survived, it would have done everything in its power to encourage the emergence of smaller friendly regimes in Mexico; there might have been a belt of small republics between the Confederacy and the densely populated Mexican interior, and these might have become protectorates or been annexed outright.

Finally, there is the Caribbean. The possession of Cuba, a large island with a strategic position, a large slave population, and rich agricultural productivity would have been a dream come true for the Confederacy. The U.S. government made several offers to buy the island from Spain before the Civil War. There was a huge uproar in 1854 when a foreign diplomat leaked the existence of U.S. plans to annex Cuba, and the U.S. government's approaches to friendly regimes in Europe to pave the way (the Ostend Manifesto).

Confederates of an expansionist mind hoped to create a formal and informal empire which would encompass a vast new territory, called "The Golden Circle," stretching from California through Mexico and Central America, to include the entire Caribbean. The Golden Circle would have the size and agricultural land necessary, in this plan, for the South to create a slave nation with a population and economy capable of matching that of the North. Some advocated a U.S. program of annexation to solve the growing imbalance between the free and slave states. Some simply wanted the South to secede so it could create an empire and fulfill its own version of Manifest Destiny.

After the South seceded, many of the Golden Circle movement's leaders in the South and the North set aside their dreams of empire to focus on the immediate demands of the war.

I'd recommend Robert E May's "The Southern Dream of a Caribbean Empire, 1854-1861" and "Manifest Destiny's Underworld: Filibustering in Antebellum America."