Louis CK produced a comedy special on his own dime, put it up for sale on his website as a DRM-free video download for just $5, and made enough to cover his costs and consider it a success:

It’s been a really fun and intense few days. This video was paid for by people who bought tickets, and then bought by people who wanted to see that same show. I got to do exactly the show I wanted, and exactly the show you wanted.

Awesome.

[I’d have to agree. I wish for more courage.]
Source: Marco.org