General terms:
* Black market
* Smuggling
* Trafficking
* Counterfeiting
* Bootlegging
* Underground market
* Illicit trade
* Contraband
* Criminal trade
* Unsanctioned trade
* Prohibited commerce
More specific terms:
* Arms trafficking (for weapons)
* Drug trafficking (for illegal drugs)
* Human trafficking (for people)
* Wildlife trafficking (for endangered species)
* Money laundering (for illegally obtained funds)
The best word to use will depend on the specific type of illegal trade you're referring to.