I've recently started a new game in 1840 (early steam railroads). Industry is currently a bit broken IMO, but I was surprised how well passenger lines can do. Connect two medium sized towns where roads already exist, buy a few stagecoaches (two pairs of horses if there are slopes to climb), and you'll make your investment back in a few years. Clippers, too, are almost guaranteed to make a profit. After about five years, my mail business is doing so well that some clipper mail holds (700 bundles) are getting full. Railroads can be profitable but are extremely expensive to build, and effective signalling in 1845 requires some imagination (cough, cough).