(FORTUNE Small Business) – If you wanted to launch a new recreation business, you might start with something basic--say, hiking tours or maybe rafting trips. You probably wouldn't choose skiing, which requires a ton of capital (think lifts) and insurance--plus, the number of Americans taking winter-sport vacations has been dropping over the past few years.

But that didn't stop Lee Poole, 55, and Joe Vujovich, 50, from launching Moonlight Basin, the first new U.S. destination ski resort in two decades. Opened to the public this season, Moonlight Basin is small, with fewer than 1,500 acres of skiing terrain, 38 trails, and four lifts. It also lacks amenities that most skiers and snowboarders expect in a destination resort: a hotel, gear-rental shop, snowmaking capacity, and nightlife. But Moonlight compensates for those shortcomings with unhurried charm, splendid scenery, uncrowded slopes, and bargain prices. And especially for visitors who are fellow entrepreneurs, its owners offer an intriguing David-and-Goliath story.

Clinging to the north face of Lone Mountain, about an hour south of Bozeman, Mont., Moonlight is dwarfed by neighboring Big Sky Resort, which sprawls over 3,600 acres with more than 150 runs and 18 lifts. Like most U.S. ski resorts these days, Big Sky is owned by a corporation, in this case Boyne USA, based in Boyne Falls, Mich., which owns six other mountains and ranks as the largest privately held U.S. ski and golf firm.

When I visited Moonlight and Big Sky earlier this year, I arrived in the middle of a cold snap that was extraordinary even by Montana standards. (Midday temperatures for the region are usually in the 20s, but I endured subzero conditions for most of my stay.) On my first morning I headed out to the slopes early, accompanied by Marc Parent, 29, a Moonlight mountain guide. We headed up the Pony Express lift, then skied over to the Six-Shooter, the only six-seat lift in Montana. In less than eight minutes it whisked us to the top of Lone Mountain, from which we peered up at the ridge that divides Moonlight from Big Sky.

The two resorts are neighbors, but they're hardly neighborly. Some trails connect the two, but there's no joint ticket that lets you ski both, and no plan to offer one. (Big Sky visitors who stray into Moonlight get a free pass back up the lift; Moonlight skiers who wander over to Big Sky have to buy a new lift ticket.) That animosity stems from efforts that Poole and Vujovich made to get Big Sky to manage both ski areas. "We started negotiations in January 2003, but it didn't work out," Poole says. "The bottom line was that Joe and I just couldn't agree to the terms they were proposing."

Instead Moonlight is marketing itself as a more intimate alternative for Big Sky visitors, and it does have several things in its favor. It gets the same snow as Big Sky (about 400 inches a year), and its location on the north side of Lone Mountain means the powder doesn't turn crusty in the sun (but also makes for colder skiing). Lift tickets are cheaper (about $39 a day for an adult, compared with $59 at Big Sky). And if the developers succeed, Moonlight Basin could end up being bigger than Big Sky. Depending on demand, the partners expect to install the next lift late this year or early next. "Eventually we plan to have up to 12 lifts and something like 3,500 acres," says Burton Mills, who manages the skiing operations at Moonlight. "We actually have more terrain to expand into than they have at Big Sky."

For the rest of my first day, we skied the upper runs, stopping for lunch at the prefab hut that serves as a base lodge. (A permanent lodge is in the works.) Moonlight is compact enough to cover in one day, yet it doesn't feel cramped. Skiing the Saturday after New Year's, I never saw a lift line and often had runs all to myself. Mills has projected 40,000 visitors for this season and double that for next, and he hopes to break even the following year with 100,000 skiers.

The steep faces at the top give way to rolling runs through dense stands of lodge-pole pine and fir. About half of the trails are intermediate level, and the others are split between beginner and expert. Some 70% are groomed. (If you want virgin powder, a company called Montana Backcountry Adventures will take you, via snowcat, to otherwise unreachable runs.) The mountain is cozy and private, with plenty of out-of-the-way sections where you can lose yourself on long glides.

Big Sky is another story. One night I had drinks with Big Sky general manager Taylor Middleton, 47, who was politely dismissive of Moonlight's chances. "One lift does not make a resort," he said, referring to the new Six-Shooter. While Moonlight would make a "nice complement" to the existing runs at Big Sky, Poole and Vujovich "value their assets much more highly than we do." Big Sky has the terrain and amenities of a major resort and has seen visits grow by 30% in the past decade. Today it draws 300,000 visitors a year.

Poole and Vujovich know that Moonlight Basin can't survive without Big Sky, and they hope for a thaw in the frosty relations between the two. There's enough of a contrast between Big Sky's wide-open bowls and Moonlight's narrower trails that many visitors will want to ski both. And Poole, for one, is taking the long view. "One lesson I've learned about the ones who make it in the ski business is that it's the second, third, and fourth generations who make money at it," he told me. "We're raising our grandkids in this valley. When we're dead and gone, we want our kids and grandkids to say, 'Yeah, Dad built this.'"