People go the the United States because the wages are high when compared to the minimum wages in their native countries, that is fact and even with the "bad economy" and alledgedly high unemployment rates you continue to talk about it seems there is always jobs for immigrants. Perhaps, there are jobs in the USA which people born there are not willing to do but desperate inmigrants are okey with? like picking up fruit in a summer afternoon or cleaning the toilets in a restaurant? I don't know, just guessing.
Also, the treatment you would get if you went to another country pretty much depends on the country in question, there are countries which are more open to immigrants than others. My country in the XX century was a very good example of one which pretty much allowed all European refugees to get in so they could flee from war in Europe, they were welcomed with open arms and we did not ask them for further documentation beyond their names and their country of origin.