I've actually just gone through this process. I'm a Canadian who just finished school and here are the option my US-based immigration lawyer laid out for me:
1) E2 investment visa: not easy to do. You need to meet an undefined "minimum investment criteria" which is typically $500,000 but if you're lucky you may be able to get in with less.
2) TN-1. A legitimate option for Canadians and Mexican. You need to find an American to own your startup in the U.S. and you start a company in either Mexico or Canada. You then get hired by the owner of the U.S.-based company and get a TN-1. You can't be the owner of the U.S.-based company but you can have an option to buy the whole thing.
The nice part about this is that you then get the American-based company to issue you an H1-B visa the next year and you're well on your way to a Green Card.
3) L2. Find someone on an L1 visa and marry them. You can then work for anyone in the U.S. including your own company