Self-employment options
If you have self-employment income, you can set up a Simplified Employer Pension or SEP-IRA. They are easy to establish and don't have the annual reporting requirements of other self-established retirement plans, says Picker.

"SEPs are just IRAs once funded," says Choate.

They are especially attractive to one-person businesses because they allow a self-employed person to contribute up to 25 percent of annual self-employment income, up to $44,000 in 2006 ($45,000 in 2007).

For the one-person company or partnership, "There is no real downside," except for the limitations you have with regular IRAs, says Picker.

But if you go the SEP route, be careful of hiring new employees. "They will be eligible for those IRAs as well," says Bogosian. "You're now going to contribute on their behalf."

As with IRAs, "creditor protection is a wild card," says Choate.

If you're earning income on your own, you can also set up what's known as a solo 401(k). A little more complicated to establish than a SEP, it will give you some of the advantages of a work-sponsored plan. "It's good for the solo practitioner," says Bogosian. An employee can contribute up to $15,000, or $20,000, if you're 50-plus. In addition to the elective deferral, an employee could make the employer contribution -- up to a limit of $49,000.

And since you control where the account is housed, you can pick an option that will give you all the investment vehicles you need.

"The main thing is that you can put away more money," says Picker. What to watch out for: If you hire an employee, you may be limited to his or her contribution levels, he says. Plus you'll have a lot more paperwork.

"The term 'profit-sharing' is actually a misnomer," says Picker. It's really a contribution to the employee's retirement plan made at the employer's discretion. Since the employee and employer are one and the same, it's a vehicle for saving more money for retirement.

The power of multiple accounts
Trying to decide between a company 401(k) and an IRA? Your best bet might be both.

You can avoid some shortcomings by staying in both and rolling the money from one type to another, says Choate.

For instance, with an IRA you must start taking money out of the account once you hit 70 ½. But if you also have a 401(k) and intend to continue working, you can roll your IRA into your 401(k) and put off those withdrawals as long as you work.

If you are married and die first and your company plan mandates a lump-sum payment, your spouse could roll the 401(k) into an IRA or the spouse's own 401(k) and take payments out over time based on life expectancy.

It also helps to check out the tax laws in your state, says Choate. "Certain states have tax exemptions for all retirement plans or some retirement plan distributions," she says.

Dana Dratch is a freelance writer based in Atlanta.