They are NOT cheap to fly, nor are most small jets, which is why no one uses them for pax operations (couple of exceptions, of course, like Enterprise Airlines of the late 80's/early 90's (REAL interesting story behind that one!)
For example, Direct Operating Costs for a G-4 will run you around $3,500-$7,000 an hour, depending on utilization, in the real word, before staffing, costs, etc. Compare that to a SWM III, for example, that my company was flying, fully-funded (!!!), for $300 bucks and hour (direct ownership), or less, in the early 90's. The SAAB 340-b's were running around $1,200 an hour in the same period.