I was talking with a Chinese coworker who had the same objection: He had gone through the arduous proper channels to immigrate, and wondered why the folks who came here illegally should be granted special favor. It seems unfair to him.
I pointed out that many of the people here now as "illegal immigrants" are an indispensable part of our society and economy. They are de facto citizens, denied the full benefits of citizenship. We can't throw them out because our economy would tank. The options are to leave them in a twilight class or legitimize them.
I definitely think that people coming here should do so legally. I'm not sure what to do about "the Mexican Problem" (to describe it in 18th century terms.)