I do sprint and Olympic distance triathlons. A marathon takes far more time to get ready for than an equivalent time length triathlon because you just need to be pretty good at 3 sports rather than really well trained at 1.

The downside of triathlons is the expense, bike, gear, shoes, wetsuit (in most areas), etc.

I agree with your point about it getting you ready to be an entrepreneur. The plus side is that staying in shape makes me better at everything.