Hopefully this hasn't already been posted. I saw this today and thought some people might be interested, particularly those who also have RPG interests:
http://www.rpgnow.com/product_info.php?products_id=1668
A little pricey for my tastes (especially as I think I'm familiar with the content of many of the sections, e.g. layout & publishing apps), but the data sounds interesting.
I also found this, which is really interesting despite me having doubts about the statistical significance & biases of their survey:
http://www.rpgindustry.com/survey/results2004.php
Probably most interesting are the results down the bottom on what most helps sales, and how retailers hear about and choose products.