Which way is the job market going and what skills should one build to be in demand a few years from now?
I believe you could find good experience with any of the job opportunities you have listed. I personally work at an advertising agency and we work with hundreds of clients, many times we work directly with the business owners themselves. I get to look into tons of business and leadership styles so that may be something you want to consider. That said, based on my observation, the most successful entrepreneurs aren't the people who call themselves entrepreneurs but instead the people that spent several years working and learning an industry and then turned this experience and knowledge into a business in that industry.
I would suggest thinking about an industry that would interest you. Spend some time researching it's future prospects. Make the effort to find an industry that suits you well and is poised for future growth then get whatever job you can in that industry. Look for innovative companies or good leaders you want to learn from, get a job with them and work your butt off to learn everything you can. Eventually, as you learn the industry you will start to spot opportunities and efficiencies you can leverage to create a business. By that point, you will have the skills, industry experience, and contacts necessary to get your business off the ground.
When you get your great idea and you go to look for outside investment your investors will want to know if you have business skills and if you have industry experience. This is the best way to get plenty of both.