* Without documentation, your job prospects will be limited to employers who look the other way. Therefore, you will be limited mostly to menial, manual jobs. Also, since getting educated won't help you much to get a better job, you have fewer incentives to become educated. This may also tend to create a culture in which educational achievement is devalued.
* If you fear that you will be deported, you will tend to avoid those who are not themselves in the illegal community (or closely associated with it). Therefore, the rate at which you learn English and assimilate "American" cultural values will be retarded. This will also tend to limit your job prospects.
* As a result of the first two facts, the returns to parasitic behavior will be higher than they would be otherwise. Also, tax revenues will be lower than they would've been otherwise.
* Since border crossings are so costly, you will have an incentive to stay in the U.S. permanently (and bring your family across), rather than work in the U.S., leave your family in Mexico, and travel back and forth. If you dislike the Mexicanization of American culture, this is probably not the result you intended.
* If a Mexican is stuck making $8.00/day in Mexico, who would otherwise be making $8/hour in the U.S., the world is poorer in two ways -- the difference in price between the immigrant's wage and the next best alternative, and the difference between the immigrant's wage in the U.S. vs. the immigrant's wage in Mexico, plus the dead-weight loss of immigration enforcement.
Whatever negative externalities the immigrant would've imposed will be imposed anyway, they will just be imposed in Mexico rather than the U.S. The negative externalities will likely be higher, in fact, since the would-be immigrant will be forced to take a much less valuable Mexican job, and will therefore be poorer than otherwise. Increased poverty means less education, poorer nutrition, increased crime, and lower productivity.
Those increased negative externalities will, in turn, result in higher costs of production for Mexican goods and services.
Given the relatively free trade between the U.S. and Mexico, many of those costs will be borne by American consumers in the form of higher prices for Mexican goods and services.
Thus, as with the drug war, I think many of the costs acscribed to illegals are the result of, or exacerbated by, their illegal status itself, and aren't necessarily an inherent property of the immigrants themselves.