Slavery is a horrible practice.  Is it still in existence anywhere?
Not in the traditional sense, no. However, human trafficking and commercial lewd acts by force are still, unfortunately, quite common.
It is illegal everywhere though, right?
It's one of those crimes against humanity that's illegal everywhere, yes. Trading people, even if they stay in one country, is horrible.
I agree.  What are the penalties if you are caught?
Harboring, transporting, or providing a person for any coerced act is a prison sentence of 10 years to life, at least in the US.
Wow!  If that is not a deterent than what is?  
Well, apparently it isn't much of a deterrent, because the number of current humans being trafficked ranged from 29 to 46 million people today.