I say I am an entrepreneur when talking to people far from the startup circles. If they ask for a clarification or if I talk to techies I say that I run a software company.
When talking to entrepreneurs I usually say I own a "B2C SAAS business", which is specific enough to relate to or to give my experiences or opinions more context.
Depends on the audience. I run a small software company is usually the one most people understand that aren't startup people themselves.
If they press me further, I do a complete 360 and say "I'm kidding, I'm actually a drug dealer" :)