Martinez, 48, was a newscaster for W Radio who covered a wide range of local issues, including crime.
Police named no suspects or possible motive.
Several international media watchdog groups say Mexico is the most dangerous country in the Americas for journalists, especially those covering drug trafficking.
The International Federation of Journalists said at least 10 journalists were killed in Mexico in 2008.
"Juan Daniel Martinez joins a sickeningly long list of journalists who have fallen victim to the lawlessness plaguing Mexico," said Carlos Lauria, the senior program coordinator for the Americas at the New York-based Committee to Protect Journalists. "State and federal authorities must investigate this vicious murder exhaustively and put an end to this violence against the Mexican press."
In a separate attack, a federal agent who had been investigating the killing of another Mexican journalist was shot dead Tuesday night, said Vladimir Tuexi, a spokesman for the regional prosecutor's office.
Jose Ibarra, who had been investigating the death of Armando Rodriguez, was killed at his home in Ciudad Juarez, a city across the border from El Paso, Texas.
Rodriguez, a crime reporter for the newspaper El Diario, was killed Nov. 13 outside his Ciudad Juarez home.
Investigators said they did not know if Ibarra's killing was related to his investigation.
Ciudad Juarez is one of Mexico's most violent cities, with more than 800 people killed this year.
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