Ahem, the European Union today consists of a population of over 450 million, much larger than the USA. There are practically no borders between European states, going from Germany to France is like going from New York to New Jersey. The UK is the sore thumb of the EU, you need to go through immigration when coming from the continent.

Although a lot of European countries have toughened up immigration requirements, its actually a lot easier for immigrants to enter Europe than the US these days.

Oz and Canada have small populations so obviously its a lot easier to keep tabs on people. One note about these two countries is that its almost impossible to immigrate illegally to these two places. The US and EU tend to have more problems with this issue.