in the book they had horses, THEY HAD HORSES I TELL YOU!!!! and (replying to someone else's comment) it'd be easier to put them on horses, because they are living, and actual creatures, instead of using computer special effects
(back to sauron's comment) in the two towers book, eomer told aragon, legolas, and gimli, that the ringwraiths stole thier horses from rohan, and only the black ones (duh) so they could just steall somemore
Yes but they take time to train, a horse for a Nazgul. I don't see why he would have a horse when he has his winged creature, which he uses immediately thereafter (and was apparently the source of the clouded sky somehow, as whe Eowen killed it the sun came out again). I'll have to check the book though, I don't know what it says exactly, these are just my feelings.