Which ones? I've only heard of this for Germany.
Getting a work visa or immigrating into the United States is so difficult that I think it's hard for Americans to imagine, but it's actually pretty easy to work legally in the EU if you're able to get a decent job (and by that I mean that McDonald's isn't going to be hiring foreign employees and sponsoring visas) or obtain a business license (usually some fee for the application, proof you can perform the job you say you're going to do, and the onus of administrative duties related to taxes, healthcare, etc).
Plus, you can get creative. I was issued a 5 year "EU family member visa" just for having a Czech girlfriend. This gave me all the rights of movement and work that EU citizens enjoy.