The Rules As Written seem pretty clear. "Self" is a range, not a target. The section on Range (PH 202) says that a spell can target a creature, an object, or a point in space. Then it says that some spells "affect only you. These spells have a range of self." Notably, the word "target" is omitted in the description of the range of self.
Minor additional support can be inferred from the section on Targets (PH 204), which lacks any mention of the "range of self". This section specifies that "If a spell targets a creature of your choice, you can choose yourself, unless the creature must be hostile or specifically a creature other than you." This seems to imply that you can't "target" yourself unless you could target someone other than yourself. Since spells with a range of self can't affect anyone other than you, there is no choice and they are not targeted.
All that is perhaps boring rules-lawyering. But consider the kinds of spells that can target creatures (including yourself) and the kinds of spells that have a range of self. Either kind of spell might grant an instantaneous benefit or an ongoing ability. Examples include Aid and Fly. Some targeted spells give a damage boost, e.g. Bless. You might look at the paladin's various Smite spells (range of self) and think they function more or less like Bless, why can't they be shared? But it seems that many of the range of self spells have other characteristics that would make spell sharing complex or overpowered. Range of self spells may:
- Require complex choice on the part of the caster, and not specify who gets to make the choice if someone other than the caster were affected. Example: Alter Self, Disguise Self.
- Grant ongoing capabilities that allow multiple choices throughout the duration of the spell. Example: Control Weather, Shapechange.
- Have a beneficial effect that radiates out from the caster. Example: Aura of Life (30 ft radius, moves with caster), Globe of Invulnerability (10 ft radius, doesn't move).
- Have a harmful effect that radiates out from the caster. Examples: Thunderwave (mentioned by you), Cone of Cold, Sunbeam.
The issue of the damage-radiating spells is just ripe for abuse if you choose to interpret "range of self" as "targeting yourself". Thuderwave is 1st level, so it seems pretty innocuous. You build a Ranger 17/Wizard 1. She casts Thunderwave using a 5th level slot. The spell does 6d8 damage. Her falcon is sitting on her shoulder and she shares the spell. Now two Thundewaves hit the same area for 12d8 damage. Boom.
Even the non-damaging spells raise issues of how they would work if shared. Alter Self lets the caster choose among various effects, including water breathing, natural weaponry, etc. Now imagine that you have cast Alter Self on someone else. Who gets to choose which effect manifests? The rules say "you", i.e. the caster. But what if the other party doesn't want the effect? Do they get a saving throw? Do they have to be willing (as is often specified for many of the beneficial targeted spells)? If you think these issues wouldn't come up in relation to a shared spell--i.e., the caster decides and the sharer doesn't--the DM still has to decide whether the caster can choose different effects, or does it have to be the same effect? I'm not saying these questions aren't answerable, but the fact that they need to be answered at all points to the fact that the game designers made no provisions for a self-affecting spell to ever affect a creature other than the caster.
These issues of power doubling of attack spells, choice of spell effects, and adjudicating spell effects, seem to indicate that the game designers never intended spells with a range of self to affect any creature other than the caster (either directly or through sharing of spells). Thus, while the rules seem quite clear, even if they were ambiguous, as a DM I would rule against sharing of these spells.