I think that both Todd and Morten have raised some very good points about difficulties with the theming landscape in the Drupal world, but I would like to offer my take on the issue.
First I will put on my economical hat and later on I will add some points from a developer point of view.

Product Life Cycle:

In the Joomla templates and Wordpress themes business, theme developers have already gone through all the stages that us Drupal folks will have to face in the near future. Premium Theme developers in Wordpress and Joomla appear to have gone through the classical Growth-Slump-Maturity pattern:

I think the Primary reason why people currently stay away from doing premium Drupal themes is simply because if you want to offer premium value you need to bring some seriously good themes to the table. These themes take much work to develop, building a theme that works on thousands of different websites is much harder than to make a theme for 1 client. On my latest premium theme I spent about 200 hours developing it and developing all its extra features. And that was after about 2 weeks of work on the design, and with the ease and efficiency of having my own basetheme.
The thing is, with the current size of the Drupal themes market, I’m not going to make a profit any time soon!
The markets for Wordpress and Joomla are each approximately 10 times bigger:

Steph & Chris from topnotchthemes.com and I, are pioneers in this field. It’s much easier and often more profitable to be an early follower, when Drupal themes and Drupal itself get a growth surge. When will this happen? No one can tell, it’s a risky business. I’m personally betting on Drupal 7 to make a difference.

Joomla and Wordpress are simpler to theme

Maybe the difference is smaller since the release of Joomla 1.5, but in the past there really wasn´t much you can do in a Joomla template, that´s why template was probably a more appropriate name. It´s just an html file where you could drop some variables. Same goes for wordpress.
In Drupal it´s a whole different story, there is a formidable learning curve. Especially if you want to keep up with the latest developments, your themes are not just a bunch of HTML files with some variables. In drupal we have theme function overrides, preprocess functions, Skinr, theme settings, Forms API, color module, the theme registry etc.etc.
If you want to compete in the Drupal premium themes business there is a lot more to learn than in the Wordpress world for example.

What´s next?