Why don't people tend to use voltage dividers or zeners in front of linear regulators
This is certainly a technique I have used a few times to overcome the limited power dissipation abilities of the diminutive 78L05. I've known the range of currents that the load is taking and placed a dropper resistor in series with the power feed to the device. 

Why didn't I use a switching regulator?

I couldn't - I was sending power and data down a 50 m cable (phantom power) and the extreme complication of filtering out the switching regulator's current surges meant it just wasn't feasible.