US, Mexico, and Canada all don't have exit customs - you can drive or walk into another country and will only be questioned on arrival by the country you arrive in.

You can also fly out - boarding an international flight is the same as boarding a domestic flight.

Whereas in the EU/Schengen area, and Colombia, for example, you pass through immigration when departing as well as arriving (the international gates at the airport are, for immigration purposes, outside the country. This also allows changing planes on flights between third countries without clearing immigration).