Take this example: The Guild
Here are some gamers who made a series of webisodes for other gamers hooking into the shared experience's that MMO gamers have. They got some good responses and put up a pay pal to get moola for expenses. They got more and more attention, because of quality of writing, acting and you can tell there is a real passion and sense of fun.
MSN saw something they liked and picked up sponsorship for the second season. So you can watch the newest episodes on X-Box Live network. So they are building up a business, from nothing.