Pro Wrestling, namely WWE. That was the first niche and the absolute worst niche I have ever been in. You will get the visitors, no doubt about it, but the adsense clicks are pennies per click. If you get 30 cents a click, that's considered pretty high. And the audience (kids, hillbillies, ghetto trash types) this niche attracts does not seem to have much money to spend so affiliate links won't work too well either. Plus the fact WWE is one of the more active corporations who seeks out anyone using their photos or videos online and aggressively sends out Ceast-And-Desist letters makes this the worst niche to be in, bar none.
Worst niches are : music, videos, entertainmet and everything that the advertiser is not willing to pay much or the competition is low.
Entertainment niches are always the worst, but it's easy to get the hits to it may be worth it if you really love the niche.
For me theres no bad niche the problem is traffic traffic = $$$ if you make a site with hig pay volume but you can't get traffic it's useless ....
w3bmaster is right, any niche can be profitable but only if you can get the traffic. Always check the competion and go for seo traffic it will pay off the most in the long run.
I think u are right about enterteinment niches... I have 2 blogs with this topic and they have very poor revenue.. The traffic is not great either( about 200 visitors/day).