The advantage gained by investing with an IRA is for those investments that the gain can be taxed, so an IRA would not have any play on an investment that would be considered tax free.

A cool IRA tool used these days is the Self Directed IRA. Rolling your current IRA or 401k rolling your money into a Self Directed IRA avoids distribution penalties and allows you to invest in many things including real estate, businesses, and other alternative investments. The Self Directed IRA is a unique option for those who are tired of loosing retirement money in the market with the limited options their plan offers. You can invest in just about anything, except for life insurance contracts and collectibles, as long as it is not what is called a "prohibited transaction" meaning that the investment cannot be for your personal use, but must be a true investment, and cannot be with certain people or "relatives". My company specializes in providing this alternative investment option for, so contact me if you are interested in finding out more about it.

Munis already get favorable tax treatment. I guess it depends upon your particular tax situation.