The biggest benefit goes to the 401k. This investment takes pre-tax dollars and invests them for you. With a traditional IRA you are using after tax dollars to invest and then taking the amount off of your taxes. With a Roth IRA you are also taking after tax dollars but you are not taking a deduction on your taxes. If you have a 401k with an employer and you leave the employer you may decide to roll that money over to an IRA. In some cases people leave the money where it is in order to attempt to be better diversified. Even if the IRA and the 401k plan invest in the same stocks the performance may not be the same. The reason is that the percentage of each stock owned may be different so that is going to affect your return. If the IRA is exactly the same fund as the 401k then there will be no difference in the return. Whenever possible I would choose a 401k over the other options unless according to my tax advisor there was a benefit to me to go with the Roth IRA. With the Roth some people like the fact that the amount they initially invested will not taxed when they retire. This is true for people who will have higher incomes when they retire so they are looking for ways to put money away now and avoid increasing their income when they retire by taking the widthdrawls from the Regular IRA or 401k plan.

Let's say you have a 401(k), where you note the exact number of shares of each specific investment. You take half the money out of the 401(k) and put it into a self-directed traditional IRA, matching the investment and halving the number of shares (only works if the price hasn't changed, obviously!). The difference in return on these would depend on the fees charged -- for example, my 401(k) has a small annual fee, but my IRA is large enough not to be charged (smaller accounts may have a $25 or $50 annual fee). There may also be a difference in transaction charges, if the accounts were held by different brokerages.

Not all investments are available to self-directed IRAs -- some mutual funds have a category specifically for institutional investors that an individual couldn't buy.

Personally, I keep both a self-directed traditional IRA and a 401(k). They do not have the same, or even similar, investments. The manager of the 401(k) reacts differently to the market than I do. It's my own version of "balancing my portfolio." I also have a Roth IRA, which I refer to as "tax planning for retirement."

The contributions to a Roth IRA are not deductible on your tax return, so are considered "after tax." The advantage to the Roth lies in the future -- if you hold the Roth at least five years, then qualifying distributions will be exempted from income tax. Also, you don't have to take money out of a Roth at age 70.5, the way you do with a traditional IRA or 401(k). If you have to take a little money out of your retirement plan to pay an emergency bill, then doing so from a Roth is much less likely to hurt you tax-wise -- you are allowed to withdraw your already-taxed contributions first, income later.

Thanks for the detailed answer!