Dragan,
The issue in NZ is that you can't walk or drive across the border. The only affordable way to arrive is by air. Australia gets the occasional shipload of illegals but there is a lot more rough ocean to NZ and logistically it is too difficult unless you have deep sea experience and/or lots of $.
In the US it is easy to walk or drive in from Mexico or (much more easily IMHO) from Canada.
The interesting thing is that in Europe you can drive or train between countries with no immigration checks whatsoever. At the end of September I flew into Zurich, got picked up and driven across the French border, then drove into Germany, without anybody looking at my passport at any point. I'm told I look German which may contribute to it(!)
"... They ne'er cared for us
yet: suffer us to famish, and their store-houses
crammed with grain; make edicts for usury, to
support usurers; repeal daily any wholesome act
established against the rich, and provide more
piercing statutes daily, to chain up and restrain
the poor. If the wars eat us not up, they will; and
there's all the love they bear us."
-- Shakespeare: Coriolanus, Act 1, scene 1
