What if we simply send an inflated airbag, containing simple sensors? It would be it's own parachute, landing airbag, and movement system. If it's light enough to be bouncing and/or to be carried by the wind, then we may not even want to have a complicated mechanism to control its movement. All the equipment for measurements would be inside. Maybe it will be possible to put a camera inside it, peeping out through a hole, although i'm not sure it'd be safe there, or whether it would't collect lot of dirt while rolling.
The Tumbleweed Rover is under development at NASA - although at a slow pace (apparently tests begun more than 6 years ago). At least they have gone through short tests at Antarctica, and lately also in a desert environment in Arizona.
If you want to read more technicalities, check this report of the tests in Arizona. They even made some simple tests with solar cells on the outside of a ball.