I used to think this way too, but lets look at it logically. Say you know you owe $20,000 in taxes. Now instead of having the right amount taken out every two weeks, you invest it. Lets say you do really well with your investment and return 25% in a year, so you made $5,000 in capital gains. Assuming you are in the 25% marginal tax bracket, that money is taxed last, so you have to pay 25% for Fed, 17% SS, and 3% State, so you are paying 45% interest on a risky investment, netting you a relatively small amount of $2750. Thats great and all, but you have to ask yourself is the risk of the investment worth the relatively small return.
Now imagine you lost 5,000. You can claim up to $3,000 losses in capital gains as a tax credit, but you still owe the $2,000 difference. In all honesty it just doesn't seem worth it when you look at it that way.
Just my $0.02.