Comedians just seem more... entrepreneurial. It would be interesting whether it's because there's less structure (existing or required) in the comedy world, or because comedy attracts more independent performers.
1. As a comedian, you have no choice BUT to get creative. Nobody is going to give you stage time as a no-name comic so your choices are either (booked) open mics or starting your own show.
2. There isn't an "agent" culture for comics like there is for bands or actors. You write your own material. You're alone on stage. You're alone every step of the way.
3. The money stinks as a comic. I can remember being paid for a show in food. FOOD. And there were limits on what I could order. At a mexican restaurant. Since there isn't a lot of money in comedy shows, every dollar you spend on getting to/from a show or paid to someone to help you book a show is almost a eat-or-pay-rent type of decision. If you go to a comedy show, buy a CD from the comic after the show. It's likely that 5 CD's sold puts more money in the pocket of the comic than whatever they earned from the club.
4. Finding another comic to share expenses is almost a losing proposition from the start. Unless you're on stage together as part of an act, it's impossible. Only headline acts can bring their own opener/feature and you aren't a headline act.
SO, to sum up, the money stinks in comedy, you can't easily achieve scale, and you need to be your own writer/agent/booker/show-runner to make a living.
To paraphrase: your first 100 jumps off the board count if you hit water.
I think the biggest factor is the mechanics of the showbusiness industry. The top people earn most (90%) of the potential revenue. The rest get the remainder.
I think we do way too much stifling as a society as it is, and a lot of that has to do with people who gave up on their dreams for a safe existence justifying their decision by ridiculing others who dare to take risks.