Sure that would be nice. It's something you can do for each 
machine, but is not practical for a distro intended for all. Some 
drivers, notably disk, raid, lvm, are necessary to mount your root 
partition, and these drivers are so many, to match all possible hardware 
configs, that they would bloat the kernel if they were built "in 
kernel". Instead they are built as loadable modules, so that only the 
drivers needed for the booting machine are finaly loaded. This implies a 
first step of initialization in which the modules can be read from 
/lib/modules. The alternative, for a distro would be to build all 
existing drivers in the kernel. This is my understanding, at least :-)