While using the wind to propel your vehicle works great out on the ocean when you're in a sailboat, it's less useful for vehicles on the road. You can't simply stick a sail on top of your Escalade and hope to get where you want to go.
That doesn't mean there aren't people working on wind-powered vehicles, however. InVentus has just won the Racing Aeolus 2008 competition, which pits wind powered vehicles against each other. The InVentus vehicle weighs in at a mere 286 pounds before the driver gets in, which allows it to pick up a good deal of momentum from its propeller on the back when it catches a breeze. Is it going to replace gas-powered cars anytime soon? No, but it's nice to see some alternatives out there being worked on.