Off the top of my head, several reasons.
1. Frequently (but not always) when you break a law it impacts another person or people in a negative way. As far as I am concerned, harming other people intentionally is just uncool.
2. Most people have heard of the golden rule, do unto others as you would have them do unto you. That is a good reason not to break the law.
3. Your own morality and conscience.
4. If you are a religious person, your religion might be against breaking laws (or at least certain laws.)
5. You might be wrong, you could get caught. Your breaking the law will be over your head until the statute of limitations is gone (if there is one).
6. It could still come back to haunt you in other ways if people find out. They might judge you, you could lose a job, so on.