Yes, there used to be quite a few of these. I'm referring to a single package that contains code written for a VM, the VM itself and a set of data files, often using a proprietary database format. If you write and save code it too gets saved inside the environment.
The advantage it that it's a single object to ship, and it just runs with no installation since it has no dependencies (except that target OS). I recall various flavours of Smalltalk, Logo, Mumps/MIIS, Pick/Information/Ultimate.
They share much of the same history with 4GLs and together they constitute something of a programmer's [walled garden] (http://en.wikipedia.org/wiki/Closed_platform). I think what happened, surprisingly, was the Internet.
Developers had long wanted a better database, better IDE, better libraries, etc. Before the Internet they were stuck, but suddenly they could find all sorts of better tools and the package vendors couldn't move fast enough to either bring them inside the walled garden or compete directly. These packages gave you everything you needed as long as you didn't need much, but the Internet gave you infinite choice, at a price.
Personally I think that the walled garden has a lot going for it, especially for programmers with limited skills. However, you can't make money out of them any longer and the smart people creating tools don't see the point, so I don't think we'll see a comeback.