I knew loads and loads of people who did it in Florida, I reckon half the bar staff in places like Orlando are people from Europe, etc. working under the table, also at flea markets. Basically what it boils down to is this:
ICE comes around and rousts bars and flea markets every few months. If you happen to be there and don't have the right paperwork to hand, you get deported. If you get deported you can never come in again. "Under the table" is kind of a vague term, you're supposed to fill in an I-9 when you start work, the first thing ICE do is ask to look at all the I-9s. If there isn't one on file, you're in trouble. If you don't have an SSN, you can't fill in the I-9.
Personally I think it depends on where you are, if you're in San Diego or Miami or Orlando or somewhere like that where there are lots of illegals you're asking for trouble. ICE has to have "probable cause" to do a raid, but it's really easy, they just send an agent posing as an illegal and see if the agent gets asked to fill in an I-9.
There used to be a flea market I used to go to in Florida a lot, you always knew when there had been a raid because loads of stalls would have "help wanted" signs on them.
Bear in mind these businesses take advantage of illegals, there were a couple of Swedish girls I knew of when I lived in Florida who were basically forced into prostitution by the guy running the bar, because he threatened to turn them in.
Steve.