The "Eurosceptic" parties (that want to weaken or eliminate the EU) are all on the right. Each country seems to have at least one right wing party that wants to reinstate border controls between European countries and tariffs back into trade between European countries.
In contrast, liberal parties in Europe generally support the continued integration of the continent and the expansion of the EU into new countries as they qualify. Most Europeans, except for the "tea party demographic" of older, more conservative voters, support the freedom of people to travel freely throughout Europe as well as to live and work wherever they want.
The history of highly "sovereign" countries in Europe does not compare favorably with the peace, prosperity and progressive governance of the past several decades. History has taught Europeans that problems in one country (Germany, Austria, Spain, etc.) have a tendency to spread to the rest of the continent in time.
The left, if not the right, seems to have learned that opening borders to their neighbors makes "their" problems into "our" problems. European have learned that "their" problems have historically become "our" problems, the left has learned that helping "them" deal with "their" problems sooner rather than later leads to more peace and prosperity for everyone.
That does seem like an odd strategy to many Americans. When we look at a problem that "they" are having, our inclination is to think of what kind of wall or law will best isolate us from that problem. Historically we haven't suffered to the same extent that Europe has from the destruction that war between "sovereign" nations brings. It makes sense that we look at "sovereignty" as something that we hope will protect us from the problems that "they" have in the rest of the world.
Europeans, given their history, have seen that "sovereignty" can also be a source of war and destruction. It makes sense from their point of view to evolve into an organization of interdependent countries with open travel and trade (kind of like our states) that are less likely to go to war with each other.
"There are people that want to form that kind of alliance between the United States, Canada, and Mexico." - Whoever those folks are they sure don't come from the ranks of the far right.
The belief that a North American Union was being planned and implemented in secret became widespread, so much so that the NAU was a topic of debate during the 2008 American presidential campaigns and the subject of various U.S. Congressional resolutions<21><22> designed to thwart its implementation. Prominent critics such as CNN’s Lou Dobbs<23> and Republican presidential candidate Ron Paul<24> denounced the concept, joined by a nationalist group in Canada,<25> Internet blogs, and widely viewed videos and films such as "Zeitgeist". Corsi’s 2007 book "The Late Great USA: The Coming Merger with Mexico and Canada" also helped bring the NAU discussion into the mainstream. Others who dismiss these beliefs maintain they are the latest example of a long line of erroneous conspiracy theories which suggest that the United States’ sovereignty is being eroded by a secret cabal of foreign and domestic players.<5><9>
http://en.wikipedia.org/wiki/North_American_Union#cite_note-urban_legend-4
The society opposed aspects of the civil rights movement in the 1960s because of its concerns that the movement had communists in important positions - for instance, in the latter half of 1965, the JBS produced a flyer titled “What’s Wrong With Civil Rights?”, to also be used as a newspaper advertisement.<10><11> As published, one of the answers provided by the JBS was: “For the civil rights movement in the United States, with all of its growing agitation and riots and bitterness, and insidious steps towards the appearance of a civil war, has not been infiltrated by the Communists, as you now frequently hear. It has been deliberately and almost wholly created by the Communists patiently building up to this present stage for more than forty years.”<12> The society opposed the Civil Rights Act of 1964, saying it was in violation of the Tenth Amendment to the United States Constitution and overstepped the rights of individual states to enact laws regarding civil rights. The society is against "one world government", and has an immigration reduction view on immigration reform. It opposes the United Nations, the North American Free Trade Agreement (NAFTA), the Central America Free Trade Agreement (CAFTA), the Free Trade Area of the Americas (FTAA), and other free trade agreements. The society argues that there is a devaluing of the U.S. Constitution in favor of political and economic globalization, and that this trend is not an accident. It cites the existence of the Security and Prosperity Partnership as evidence of a push towards a North American Union.<13> Stuart A. Wright has said, their political racism however was no different from both Republicans and Democratic politicians of the time.<14>
http://en.wikipedia.org/wiki/John_Birch_Society