Soccer's most infamous example of cheating came during the June 1986 FIFA World Cup quarterfinal. Argentina and England were vying for a spot in the finals when Argentine star Diego Maradona achieved the first goal of the game by striking the ball with his hand—a flagrant violation of the rules. At first Maradona was coy about his cheating, but he eventually admitted he had intentionally hit the ball with his hand. The illegal goal (which likely decided the outcome of the game) became known as the "Hand of God" play.
There are of course many sports where cheating occurs (or is alleged to occur). From Sammy Sosa's "accidental" use of corked baseball bats to doping scandals to New England Patriots coach Bill Belichik stealing signals from opposing teams, there's nothing new under the sun.
But soccer seems to allow many more opportunities for cheating, from handballs to "diving" (faking or exaggerating an injury in an effort to falsely penalize another player) to "accidentally" tripping other players.
Not only is there widespread willingness to cheat in soccer, but the fact that there is no instant reply in soccer greatly helps the cheaters. Referees and judges in most other professional sports (baseball, hockey, tennis, football, and so on) can consult videotape more or less immediately to check on the accuracy of a call. Soccer has no such option, and therefore feeds the "If the officials didn't see it, then it didn't happen" mentality. Exactly as Thierry Henry noted, he is not the referee, and it's not the players' job to follow the rules but instead the officials' job to catch them when they do not. If a referee isn't paying attention to a foul (or, in some cases, even a goal), then it didn't happen. And there is no appeal.