Has someone compared the cost of mining vs. that of brute-forcing addresses? It is known that the type of computing power required for mining is the same used to generate addresses, and it is known that "in general" it is much more profitable to simply mine, rather than try to generate addresses hoping to stole their content.

But AFAIK there are some addresses out there which contain a huge amount of bitcoins: successfully generating their private key would award you a lot more bitcoins than those you would get generating a new block.

Has someone actually made some figures comparing the average revenue of mining vs. the chance of generating the key of a very rich address?
The chance of generating the key of a very rich address is effectively zero. That is, in the entire history of humanity, nobody has come anywhere close to accomplishing such a feat. 

Let's consider 1 Bitcoin a score. Since there can never be more than 21 million bitcoins or so, you need to hit on one of at most 21 million accounts. Let's say you could try 2 trillion accounts per second. Your odds of matching an account in a hundred years are approximately one in 11 billion billion.

Good luck.