The blog post was a pretty good read, thanks. I'm interested in data mining/AI, but need to learn much more before I'll be able to do anything useful. After some more thought I think it might just be better to focus a bit on academics and learning the theory behind all this stuff first.
I don't know which industries interests you, but there are some industry sectors like logistics, agriculture or finance which heavily rely on new insights from their data.
You could start as a consultant for one company and build a product (consultingware). If it works successfully offer it other companies (http://nukemanbill.blogspot.com/2008/06/how-to-sell-your-sof...).