This is most certainly a grasshopper! Many to most species of grasshoppers have wings as adults (there are some species that don't fly or have underdeveloped wings). Juvenile grasshoppers (called nymphs) don't have wings or have little useless wingpads.
I think this looks quite similar to a Carolina Grasshopper, Dissosteira carolina. Take a look here and see what you think: http://bugguide.net/node/view/14827
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