Because it's a lot easier not to spill the milk than it is to clean it up.

• Generally you get a hearing before an immigration judge.  Don't sign anything giving up this right.
• If you're not a citizen and you have a criminal record, don't travel outside the US without consulting an attorney first.
• If you're not a citizen and you have a criminal record, don't file anything with USCIS without consulting an attorney first.
• If you've been ordered removed from the US, formulate a plan of what to do if you're picked up.  Talk to an attorney before it's too late.
• If you have an alien number (an 8 or 9 digit number beginning with the letter A) call the immigration court hotline at (800) 898-7180 to see if your A number is in the system.  If you know you're in removal proceedings, this hotline will tell you where and when your next hearing is, what your case history is, etc.  If you don't think you're in proceedings but your A number turns up after calling this hotline, then talk to a lawyer immediately.
• Immigration laws change.  If you've consulted a lawyer and they've told you there's nothing that can be done, wait some time and try again. 
  

Read more about deportation.