Dorothy's looking for an actual physical place, but her friends? Their wish list is a little less concrete. The Scarecrow wants intelligence, the Lion wants guts and The Tin Man wants a heart. Not exactly things you can pick up at the local Wal-Mart, and even magic caves or inner sanctums are usually out of them. What's an enterprising misfit to do, then, but find a wizard to see if magic can't help them out?

The film's big twist is that the characters actually don't need any of those things: they have plenty of their own already. The journey helps them find it and use it (whatever "it" happens to be for each of them) to help their buddies out of their various scrapes, but they already had it in copious amounts before Dorothy came skipping into their lives. Like the ruby slippers, the gifts they get at the end are just symbolic representations of their own capacity to think, love and stand up to the boogeymen.

Ironically, they never seem to realize any of it. After all they've been through, they still don't see their own fulfilled potential. (Jury's still out on whether Dorothy does or not.)

That makes them rather silly in some ways, and the movie gently mocks them for not getting in on the lessons it worked so hard on. (It might even prompt another hypothetical Hero's Journey, where they have to get rid of those crutches, like Dumbo and the magic feather, and rediscover their capacities on their own.) But it doesn't mean they don't have them, or that they came from anywhere but their own ability to face down the problems in their path. The fact that the characters treat them as objects to be won becomes part of the (kindly delivered) joke.

And in any case, the missing traits still serve as the goal to pull them all along. Regardless of whether they actually have what they want already, they need something to pull them along, something they want so badly that they're willing to face down a million Wicked Witches to get them. It ultimately doesn't matter what that thing is. The only thing that matters is that it's important to the characters.

Some psychoanalysts have even suggested that what Dorothy's pals are looking for (heart, brains, courage) represent things that Dorothy herself needs to find. So they're really the wounded parts of Dorothy that she needs to heal along the journey to adulthood, maybe because of losing her parents. (Source)