I think it depends on the individual's talent and resources. You have to recognize your own skillset as well as limitations. Not everyone is cut out to be a entrepreneur. Investing however is not something a person should venture into without having an understanding of how the market works.
Both paths to wealth will require an investment of time to learn the "ins and outs". However investing is probably less taxing physically and mentally once one has the hang of it. You also are not putting all your eggs in one basket because you can spread your risk. An entrepreneur puts 100% of his or her efforts into making their (own company) a success. If it fails they assume all of the risk. If it works they are truly independent.