Where is the best place to save for retirement?

There is no answer to this question.  It depends a lot on your circumstances, but Income and Capital Gain Taxes play a significant role in the effectiveness of your investments.  All other things being equal, and they never are, an order of priority to consider is…

If your company offers matching in a 401k or similar retirement plan, contribute to that plan to the extent of the employer’s maximum match.

A Roth IRA, which provides for tax-free growth and access to your retirement funds.

Some Life Insurance policies have investment characteristics and allow for tax-free growth and, under some circumstances, tax-free access to the cash value.  If you have a need for Life Insurance, consider one of these policies.

Now, go back & fill up your 401k.  Your contributions will be made before deduction of income taxes and your growth will be tax deferred until you begin taking money out. 

Annuities provide for tax-deferred growth of after-tax contributions.

Mutual funds, stocks, bonds, and real estate, can all be good investments and often have some tax advantages associated with them.  No investment decision is without a price.  This applies to tax-favored investment vehicles.  Some of the investment vehicles mentioned above may have a limited number of investment alternatives available.  That limitation may, but won’t necessarily, offset some of their tax advantages.  Consider what you may be giving up to obtain those tax advantages.