Buy an existing business - lots of research required (like buying a house or car), but lots of issues to consider
Buy a franchise - proven system, usually focused on food, retail or service. Other things to think about are locations, staffing and management.
Start your own business - if you have an idea, have done some market research and are prepared to go through and develop a business plan. Prices varies depending on if you are opening a store, acting as middle man, or running an online business.
Online business models - popularised by eBay and PayPal, these and other companies provide a model and platform for doing online business, which has the lowest costs, and the widest market, but competition and business idea are the key issues to overcome.
Many websites offer Home businesses, which usually involves multilevel marketing or similar schemes. I can't comment too much on these.
If you have considered all these issues, you will work out what will be the most profitable type of business for you.