SpaceX and their Grasshopper is making progress. Looks very Kerbal'y to me, they've just grabbed a stock Falcon fuel tank and a Merlin engine and attached some landing struts to it (along with some extra control systems).
Neat but isn't it overkill compared to just attaching a parachute and having a surface recovery team?
Of course I might be thinking in the shuttle mentality of needing repairs after every mission. Maybe you could launch, refill and launch without any frills?
The main issue being these are the size of a building. Parachutes work when it's a capsule, the size of a small room, but not a full first stage casing. Grasshopper is a little over 100 feet tall. Creating parachutes large and durable enough to slow that to the point where it's recoverable would be nearly impossible. Similarly, it needs to land very gently and without tipping over and bumping/rolling along the ground. The last thing you want is a giant non-aerodynamic dent in your rocket which, assuming it doesn't damage critical systems, will still completely throw off your maneuvering. Landing int he water is equally problematic, as it requires a very thorough and immediate cleaning to get rid of the salt water (highly corrosive) and to make sure nothing gets jammed up by having seawater shoved in it. It's why then intend to eventually have the dragon capsule itself land in a similar manner.
It also takes a big bunch of other stuff to recover the vehicle. Basically an entire search and rescue team, complete with boats, helicopters, etc. It's also less predictable, so it has to be done in a remote area where no aircraft or other boats would be nearby.