Well, I haven't had any experience selling an indie feature - talk to me in a year... I plan to make a feature later next year called NEAR HIT. Shot for pocket change.
But every year before AFM I send out a bunch of letters to companies attending that include a list of available scripts and a couple of one page synopsis with mock up posters on the other side. And every year, without fail, I get calls from distribs who want to see screeners of the poster movies. Every year I explain that they are not movies, just scripts... and that's the end of the phone call usually. But this year I had a couple of companies who wanted to do presales on them if I ever thought of making them. Kept those contacts open for NEAR HIT.
I think the two are probably close to equal, though. Just as difficult. If you have a film, they can see the results that they had to imagine when they read the script... but what if they imagined Eric Roberts in the lead and your movie stars Reggie Bannister?
I know a bunch of people with indie films they can not find distribs for... others who got much less than they spent to make the film.
Just a guess, but I think the number of films without distribs is probably similar in percentage to the number of scripts that lead nowhere. And the same reasons for both: bad films and bad scripts will not sell, self indulgent scripts and self indulgent movies, scripts that don't interest the audience and films that don't interest the audience, etc. I don't think you can take the script that nobody wants and turn it into the film that *everybody* wants. Whatever problem the script had selling are still there when you film it.
But for me, making the film means that the script actually ends up on screen... and without other people screwing it up... and I used to make short films and kind of miss it. But I'm only spending what I can afford to flush down the toilet, because I may end up showing NEAR HIT in my garage the way I used to show my super 8mm and 16mm films. Though, these days, I can burn DVDs and sell them on my website and Amazon and some other places. If I make it cheap enough, I can probably make my money back.
I think if you want to make a movie, you should go for it... if you don't, don't do it.