Why don't horizontal stabilizers have winglets?
Horizontal stabilizers don't generate as much pressure difference as the wings. Generally the stab deflections are very small in flight, and there's so much other drag during landing -- when the stab gets the most use -- that wing vortices from the tail are probably the least of your problems. Stabilizer winglets on their own, when there's no pressure difference, would simply result in drag, whereas the main wing winglets are constantly effective while flying. 

Furthermore, the weight and trouble of adding little winglets to the horizontal stabilizers with larger actuators and hinges, for example, would probably outweigh the very slight aerodynamic benefit. I could also imagine that since the airflow over latter part of the wing is complex and varied, find a good design solution would be difficult.

As @Federico points out, the DA42 has them, but that's a composite airframe rather than the metal construction you see in most Cessnas, for instance, where you have to be more conservative in construction.