In the United States, the cosmetic industry is a 50 billion dollar industry that is sadly basically self-regulated. The Campaign of Safe Cosmetics states that, "Under the current law, the FDA can't require cosmetics companies to conduct safety assessments, and can’t even require product recalls". In fact, thousands of ingredients which are commonly used in the US Markets are banned within other countries! I don't know about you, but I have no desire to be part of an industry that is not required to prove it's safety.
If you want to read more about how our laws aren't protecting the consumer, then please read this great article The Ugly Truth about Chemicals Used in Cosmetics by Lindsay Dahl.