My mom's second husband was an illegal Mexican, so I got it straight from the horse's mouth...
Some of them save up all the money they make during the summer (around here, it's mostly picking strawberries and other agricultural work) and they don't have to work the rest of the year, because the cost of living is so much less in Mexico.
Those that come illegally and marry to become legal often have family back in Mexico that they send money to. That's what my mom's second husband used to do.