Answer:
Find something you have, which is illegal or borderline legal, which others might want. (Drugs don't count since for some reason drug dealing is not considered the black market.) You can start small, with something like pirated movies or counterfeit comic books. Find a buyer for said item(s) - c'mon, you know some collector that will want to hear about it, you know you do. Word will spread quickly that you're the guy/girl with the _____. Then if you want you can diversify your offerings. Once you become known as a distribution hub if whatever-it-is, others will start coming to you as a middle man.
This answer is geared towards fiction authors, because I certainly would never give advice on how to ACTUALLY do something illegal. Really.