Depends upon how we approach the question.
Are we doing it only because we won't get caught? Or is it something we've always wanted to do, or need to do, and we finally are certain we won't be caught?
The only thing that is illegal that I would really like to do is grow pot for myself instead of buying from sketchy dealers.
I can't think of anything else that is both illegal and that I would like to do outside of some process. The process caveat is important, because while I'd be tempted to, for example, go Robin Hood on some companies or indefinitely detain repeat abusers, I feel like the best option is really that you adjust the judicial process, government policies, etc. It's just a little slow for my taste...