Wow, what a great topic! Congrats Steve.
I remember as a kid taking a marionette building class at a small puppet theater set up in a strip mall in San Diego and then visiting one upstairs in Solvang CA as a kid (and loving both).
For the past five years, we've been running a "melodrama" theater that appeals to the family audience. Although not a "puppet" theater, rules are rules and boy did I open a "Pandora's box" when we got into it. There are soooo many rules, regulations and codes that it almost seems impossible to do anything like this today (unfortunately). There are insurance regulations, ADA requirements, bathroom minimums, parking minimum (got have parking, usually one space per four people your building may hold), got to be zoned correctly, etc. etc. etc.
Like Tony, we have found some wonderful buildings that could have been adapted, but in the wrong place with the wrong zoning, not enough parking, not enough bathrooms, exits, etc. And putting ONE bathroom into an existing building to meet code can cost $50,000 bucks! Whew! General assembly (as opposed to retail use) of a building has a lot more regulations over and above just opening a store to sell antiques. They even now have regulations on how much air a building must be able to pump for people to breathe. THEN, add on federal, state, city, and county laws on top of it all and...ARGHHH!
Soooo, my suggestion? Find a place that exists already, like a church, theater, etc., that's already set up for all of this and rent it out on a regular basis. We rented out a theater in September and did nine shows (a parody of Twilight called "Twi-Lite") and almost sold out every performance and did well financially...and I didn't have rent to pay the months we were dark. Yay.
I suggest that anyone start small, and grow a clientele until the time they HAVE to get a bigger/their own place. I hope this helps (but well-worth the hard work).