From what I've seen
I’ve been knocking this idea around allot myself lately. I live in the greater Sacramento area in California, from what I’ve seen, the successful ones in my area are dual purpose shops, they will mill and sell local lumber as well as fine furniture. The trees are sourced from local arborists, they toss them 100-200 bucks for a load of walnut (or the like), which they then cut and sell for $11-$13/lb ft wet or $15-$22 dried. Their business model enables them to be working on projects all day, and have people drop in to buy wood.
My plan is to start with a bandsaw mill while working my traditional job and see how quickly I can recoup purchased cost, all while starting to sell smaller items online through Etsy.