Why didn't the space shuttle solid rocket boosters have wings and tires to land the same way the orbiter lands? I don't think they haven't thought of that so there must be something that led them not to choose that design, right?
Wings, engines to fly back to the launch site, and landing gear are heavier than parachutes. Using this design on the SRBs could have resulted in a significant payload to orbit reduction (every 10 pounds added to the SRBs resulted in 1 pound less payload that could be carried to orbit).
However, this was studied for the case of liquid fueled flyback boosters. Another interesting shuttle upgrade that never went through. And, resulting in a crew member comment "I guess we would be 3rd in line for the runway if we had to do an RTLS."
In addition to the booster upgrade proposals that Organic Marble mentions, some early shuttle proposals considered using a single large liquid-fueled winged booster that would fly back to the launch site. The development budget for the shuttle didn't allow that strategy to be pursued.
It's all about trade-offs. Parachutes are much simpler, lighter, and safer for recovering a "dumb" booster. Wings, landing gear, and control systems add an awful lot of weight (therefore reducing payload) and complexity for pretty much zero return on investment. I also imagine there would've been all kinds of stability problems from adding two extra sets of side-mounted wings to the stack.