Illegal immigrants do not have to go through the bureaucratic immigration system, spend 1000s of dollars to fly in-out for visa stamping, live in uncertainty of becoming an illegal or be banned to enter the US, illegals can also work multiple jobs in any state, take time off/not pay minimum visa wage or taxes to maintain visa, etc.

Of course they have to live in fear of deportation and have broken families(many legals have this fear too).