CNG cars do exist, and Chrysler rolled out a CNG Challenger a year or two ago at the auto shows. 385HP or something like that.
The thing with CNG is...while it is more environmentally friendly, there is less power per unit than gas. It will take more CNG to make the same power as gas (when mixed with oxygen, of course).
Aside from that, and packaging of the tanks (3000+ psi), the next major hurdle is infrastructure...you'll need to fill that bad-boy up every 100 miles, and the few CNG pumps (for vehicles) around my town are (or have) closed down.