I've seen some quite elaborate, interlocking puzzle cubes, made from wood. To make them the traditional way is fairly labor intensive. If I had a CNC in my basement (hey, I can dream, can't I?), that's one of the things I'd look into. I'm sure with a little planning, you could set up one board and make 10 of the same component from one species, set up a contrasting species, and cut 10 of another component. In no time at all, you'll have 10 puzzle cubes, ready for sanding and finishing. There are free plans out there, and I'm sure it would be easy to convert the data to dxf files. I remember as a kid, a relative gave me a puzzle box for Christmas. The gift wasn't so much the box, but the money inside. But, in order to get the money out, I had to figure out how to open the box. A nicely done piece like that could be handed down through generations.
As for marketing, I'm sure some people who run a business will have some help for you. All I can think of is to get your feet wet on eBay, and see what the market is for the products you will be selling. CH