There was a reality based movie about a British millionaire trying to take over a small African country. Somebody probably could tell the details about that.

But I think that nobody runs their own country because it just sucks. And they all have already had far greater power and leverage via their companies than what they could imagine getting via own country.

But it's still strange that the gazillionares do not use their money on larger projects. Well, Google does all kind of interesting stuff. One thing I have thought would be cool would be building a completely new internet infrastructure to US, bringing 100Mbps speeds to every house and taking a huge step towards IPv6.