This was a hard one to do a search on so if it's been posting already please let me know.
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Unauthorized immigrants by state
U.S. Department of Homeland Security
San Jose Mercury News
Oct 2, 2007:

Unauthorized immigrants by state

Pct.
Est. pop., of U.S.
State Jan. 2006 total

California 2,830,000 25%

Texas 1,640,000 14%

Florida 980,000 8%

Illinois 550,000 5%

New York 540,000 5%

Arizona 500,000 4%

http://www.mercurynews.com/news/ci_7059848