I own a retail business and I'm surprised you left out rent in your list of overhead costs.
You can start in a crap location and gradually build up a loyal customer base. That's cheap and can eventually be lucrative if you're really good at service and marketing, but in many ways you're fighting against the tide - you're inconvenient to your customers and easily forgotten.
A well-run bar in a good location will surely bring in good revenue, but the rent will almost inevitably be expensive as well.
I did leave out rent. In our case it was a fairly big number, but we had a fairly large, rambling building. But it was still small compared to our cash flow.
I'd also say that bars are far, far less location-sensitive than retail. You can get away with a bar being a little off the beaten path, and if you're smart, you make that part of the appeal. That works well with a semi-vice industry...
We tried to open a nightclub a couple years into owning the bar, and we failed miserably. A nightclub is a whole different beast from a bar.
I think the three main reasons we failed were
1- We spent too little money on it. There are clubs, notably the really underground dance clubs, that can get away with being a dark room with a good sound/light system and nothing else. Pretty much any other kind fo club needs to spend a fair amount on decor.
2- The space was too small. Related to the above. Again, maybe an underground club gets away with small spaces, but most need a large space with lots of nooks and crannies.
3- We had no clue how to market a nightclub. A bar needs to feel like it's apart from the world, a sort of refuge in a way, but a club needs to have some sort of aura in addition to that. That's a complicated thing to build up, and we didn't know how and we didn't put in the effort to learn.
An opportunity came up near the end of the bar run to buy what had been one of the mega-nightclubs in town in the 70s-80s. It had gone through several failed iterations in the decade since, and was going for a relatively cheap price. The deal never solidified, and in the end it's probably a good thing it didn't. Someone could have revived the mystique, I think, but it couldn't have been us.
A few things to note after having run a club night a while back:
1) We actually managed to go as cheap as possible with our venture. The scene that we were targeting, Gothic/Industrial, is already a hard to come by group of people compared to the larger genres out there, and we even had competition on the same night; however without large decor changes, or even spending more than $500 on opening night, we were able to make a decent enough of a profit. I think marketing may be the key factor here.
2) The space we found was very small - in fact it was a hard to locate bar that was looking for something to take over their Saturday nights. One of the issues we had with the bar owner was decor, which in the end had to be left untouched - thus our Goth/Industrial night took place in a Caribbean/Tiki style bar.
3) In regards to marketing a nightclub - as previously mentioned by mschwar99, social butterfly types are a great asset here. By getting promoters to hand out flyers (stamped with their promotion id/name, and the promoters targeting very obvious members of our target scene) you can get a good amount of patrons in. By presenting the flyers, the customers will get free entrance, and the actual promoters get a cut based on the amount of patrons they bring in. Your promoters will work extra hard to get the word out as it's purely commission based work at that point.
Sadly, in our case, the reasons we failed were mostly attributed to the NYC smoking ban in bars, the incorrect cross streets being printed on our flyers, as well as midterms taking up the time of our customers.
You can start in a crap location and gradually build up a loyal customer base. That's cheap and can eventually be lucrative if you're really good at service and marketing, but in many ways you're fighting against the tide - you're inconvenient to your customers and easily forgotten.
A well-run bar in a good location will surely bring in good revenue, but the rent will almost inevitably be expensive as well.