This is an argument I've heard many times, even from my players. Why go through all the trouble of establishing a business concern when adventuring is more lucrative? Not to mention a more direct action for my character.
In the past, I've made the argument that there are more benefits from establishing a business than money, but even I can admit that's a weak argument. Let's say, then, instead of arguing, we try to understand why dungeons are so lucrative and why the process of building a business usually ends in a gaming failure.
I think it has everything to do with the thinking process applied to each pursuit.
Right off, we have a much clearer understanding of why a sawmill makes money - wood is cut, shoved in one side of the mill, processed and loaded from the other side into carts that then have to be driven to market and sold. If I sit in the reader's world and propose this as something my character wants to do, immediately we begin doing calculations: this many men can cut down this much wood that can be loaded at this speed and brought to the mill in this time frame. The wood can be cut by this many men working this many hours in this amount of space, then we will need this many wagons to travel this distance to a town of this size that has this many potential customers and so on. Virtually every detail of the venture can be measured - and if a measurement is lacking, there are online places to dig up a little research to make reasonable guesses at what the measurement should be.
Now consider the treasure associated with 18 giant spiders. How much should there be?
Aha. Here we have no calculators, no measurement, no online research. What we DO have are players that need this much treasure to go up to the next level or this much treasure to buy the sword of their dreams. We have want as the measure, not the physical limitations of the world. Treasure is all DM fiat, and even the stupidest DM in the world knows that the players know that the DM's word on the matter is a measure of how much of a jerk the DM is willing to be. Everyone knows that the DM can add an extra zero any time the DM wants - and hell, why shouldn't he or she? We're all going to be much happier if we upgrade, aren't we?
I don't see how this is any different for the folks who don't give experience for treasure. Surely, someone who will have missed this sentence in their scanning of this post will write in the comments, "Well, I don't give experience for treasure, so there's no problem." This might be true - IF the DM doesn't allow the treasure to be used for other upgrades, such as purchasing magic over the counter, and IF the DM in turn hardly gives any treasure when parties kill monsters. I wonder, O DM that gives no experience for treasure, is it practical to start a sawmill in your world? Will it give me status that killing something won't give? Or does my status automatically come from my level?
That, to me, is the largest part of the problem - that status is inexorably connected to level. When the fighter reaches a certain level, an army just shows up, begging to serve. One day the thief is 9th level; he is short 35 x.p. of 10th. He meets a mangy dog in an alley and kills it, gaining 36 x.p. All of the sudden, 4-24 thieves step into the alley and declare, "We are yours!"
Well, you all know I play an AD&D hybrid. I have no idea if anyone from 3e on ever gets any followers from achieving a certain level. I suspect some sort of automatic authority is conferred.
Since virtually the beginning of my world I have discarded the idea that a character has to be a certain level before they can build something or gather hirelings. If a 2nd level cleric wants to build a church, all power to that character. I do insist that the cleric be a priest before giving services (in the Player's Handbook, a 'priest' is 3rd level while a 'curate' is 4th - Gygax and crew were clearly NOT catholic), but that doesn't stop the adept from paying for and doing the actual building.
Why shouldn't an army serve a 7th level fighter, if he offers pay, provides the necessary organization and makes good decisions? Hell, why not a 1st level, the circumstances being right? Did Joan of Arc adventure in the dungeons of French Lorraine, killing demons and dragons, before leading the French army at Orleans? Funny how those adventures have never made it to print.
Thus, part of the problem assumes that if I make a sawmill, I will get no status from that unless I also reach a certain level.
In turn, having reached a certain level, having done nothing but plumb the depths of dungeons and tombs, I'm obviously now an instant local lord with an army at my disposal, the darling of the kingdom and certainly entitled to my position. So far, my entire contribution has been pouring money into the coffers of merchants - and not necessarily in the kingdom where I am not that given level - but naturally my army, my steward and all my peasants can't wait to serve me and pay me taxes.
Fuck Harvard. We ought to train would-be lawyers in the caves of Sima de la Cornisa. All the education anyone could ever want.
But I digress.
Where we have a situation in which the DM 'makes up' the amount of coin and status gained from plundering dungeons, but incrementally reviews every copper piece where it comes to creating a business, then YES, dungeons will always be more lucrative. Dungeon logic circumvents limitations. Actual development of the world embraces limitations. The one is obviously operating according to different rules from the other.
Establish in your world a rule that the players can drop 15,000 gold pieces on a working sawmill and expect a 98% likely return of 1,500 g.p. a month, without having to do anything else that pay the money and write on their character sheets, "sawmill, Pontdeuf valley," then I absolutely guarantee you that players will buy as many freaking sawmills for which they can find the money.
And why not? If your players have a 98% likely chance of killing 18 giant spiders and being given 1,500 gold in treasure, what is the difference? If it makes you feel any better, have the players roll 20 dice in the space of 15 minutes (to 'run' the business the same way combat is run). Then they will have 'earned' the profit, right? The same way they 'earn' the coin they get in treasure. If you really want to go all out, they could lose 'profit points' if they roll badly - and if they reach zero profit points, the sawmill burns down, they fall into the machinery and die or the entire kingdom's army shows up and puts them in prison for life.
What could be simpler for you? What could be simpler for the players? All that's required is the elimination of logic!
Unless, of course, you'd consider inserting a little logic into your dungeons.
That's asking a bit much, I suppose.