CNNMoney's "Ask the Expert" column highlights one of the glaring weaknesses of the "consumer-driven retirement" idea. A worker just moved from a job that offered a 401(k) to one that doesn't. They were dutifully socking away the max under their 401(k) plan ($18,000 including catch-up contributions) but now is wondering what they can do without the 401(k).
The only answer is the IRA or Roth IRA, which allow a maximum contribution of $5,000 per year. That leaves $13,000 on the table every single year. Just because the worker happens to work for a company that chooses not to offer their employees a 401(k).
His suggestions are to invest in tax-managed funds and ETFs, mutual funds that trade like stocks. Both of these would keep taxes to a minimum. In the first case, the fund manager does not trade often or takes losses when appropriate, both of which lower the required capital gains distributions (which are taxed). ETFs trade like stocks and so capital gains are only taxed when the ETF is sold.
Additional options include index funds and tax-exempt funds. Index funds are lightly traded in because the composition of the major indexes rarely change. Tax-exempt funds are funds of municipal bonds that are exempt from Federal taxation (and sometimes state taxation as well). Municipal bond funds have lower returns, but when the tax benefit is taken into account, usually return 5-6% per year, much below the average 10% return of stock funds.
Those are your options, which is why a good 401(k) is a great benefit for employees. My employer just switched from a crappy one to a great one. It's nice not only having a 3% match, but to be able to invest in funds with high returns and low expenses, rather than the other way around.