Most of those countries nobody wants to immigrate to. The ones that people do want to immigrate to, the US is pretty middle of the road when it comes to being able to legally live here. The US is one of the easier ones to get citizenship in though (still difficult).
And no, it is not just a matter of “just do it legally.” The majority that would like to come here are not able to do it legally within their lifetime. Most of them only qualify for the lottery and only a fraction of those actually get through because the process is so bureaucratic and prone to errors.