I distinctly remember in Star Wars, A New Hope, in the scene when the Millennium Falcon arrives at the remains of what was once Alderaan, a TIE fighter passes close by and Han Solo gives chase. Obi-Wan says "A fighter that size couldn't get this deep into space on its own." Is he implying that TIE fighters don't have Hyperdrives or that they are too far from Imperial space? I ask this because I distinctly remember that, at least by "ROTJ" X-Wings are very capable of hyperdrive as in the scene at the beginning of the Battle of Endor when the entire rebel fleet makes the jump into hyperspace including a squadron of X-Wings. X-Wings are not much bigger than TIE fighters. Thank you
According to the Wookiedpedia page on the TIE/IN Interceptor:
Hyperdrive system: None standard, can be equipped as upgrade
So they don't come as standard but they can be upgraded with a hyperdrive if you really want one.
The TIE_Advanced_x1 though is, as the name suggests, advanced:
it had a modest Class 4.0 hyperdrive
So the Advanced is the one you would probably want to drive.
Seiner Fleet Systems supply the Empire with a wide array of Snubfighters because they are extremely cheap to manufacture and can be constructed en-masse VERY quickly.
The TIE/ln (Twin Ion engine) fighter, including other varients (TIE/sa, TIE/int, TIE/ga) are perfect examples of this. They are extremely basic craft, with no onboard life support or oxygen supply (hence TIE pilots wearing respirators), and very basic engines. In short, they don't have Hyperdrive systems because of the advanced cost. They're also notoriously bad at flying in-atmosphere and probably wouldn't be very comfortable to fly!
The Empire prefers quantity over quality, and so has it's Cruisers and Capital ships load up on masses of fighters; jumping to a location and rapidly deploying squadrons for an engagement.
As you rightly say, the snubfighters used by the Rebel Alliance in episode VI do indeed have Hyperdrives; an ode to thier highly-skilled yet non-expendable pilots. As a side note, many popular Rebel / Cartel ships such as the Z-95 Headhunter do not have hyperdrives. It's plausible that the Rebel Alliance chose it's best and most recent fighters (and pilots!) for the Battle of Endor.