Well, a core issue is respect for our laws.
Immigrants are great and contribute a lot to our economies, but do we really want the immigrants who refuse to obey our laws from day one?
Plus, there's tons of places to fill our immigrant needs - India and China are two of the biggest. Those also tend to be more skilled immigrants, and seem as a trend more willing to adapt to fit into our society.
As it is, although the employment rate is still low, there are relatively few jobs in unskilled labour. Since employers don't need to follow minimum wage or labour safety laws when using undocumented immigrants, they can get away with spending less money on them. This makes it more difficult for native born individuals without skills to find work as agricultural workers, janitors, etc.
I admit that it's harsh. There's big problems balancing the need to keep families together for one thing, and if I was in Mexico, I'd probably immigrate legally or not to try and get a better life. However, the US can't hope to absorb the entire population of Mexico, and it's a sovereign state and has an absolute right to control its borders and who (if anyone) it chooses to let in.