No. I was technically illegal once for about a month but just technically. I didn't enter the EU illegally or with the intent to stay illegally. By their laws, I have a right to live here as long as my wife lives here- I have only to go through the proper steps to do so- like sending my passport off to the Home Office (here in the UK) and getting a visa. I think technically, I could apply for citizenship in the UK next year if I wanted to- I've been here that long- 5 years. I don't know what the requirements are in the other countries. In Australia, it is very difficult to get permission to stay but you can apply for citizenship after as few as two years of residence.
At any rate- why do you ask?