The main vehicles are the 401(k) or equivalent (403(b), 457), and the IRA. Within these groups you also have different types with different tax strategies. For example, a Roth 401(k) and Roth IRA do not allow for tax deductible contributions but rather grow tax free, meaning no taxes are owed on the distributions.
Prioritizing which vehicle your retirement savings should go to is typically driven by the tax treatment. Although before considering the treatment, first take advantage of any employer match of 401(k) contributions. This makes the 401(k) first on the list. If your employer matches up to 6% of your salary, you should contribute at least 6% to your 401(k). The annual 401(k) contribution limits set by the IRS are also higher than those set for an IRA. For 2010 the annual 401(k) contribution limit was $16,500 with a catch-up amount of $5,500 for those over age 50.
After maxing out the match to your 401(k), max out the contribution to an IRA or Roth IRA, which was $5,000 in 2010 with a catch-up of $1,000. Whether to choose a Traditional IRA or Roth IRA is up to you after considering the advantages of each. (Refer to IRA Basics.) I personally recommend a Roth IRA, which allows all the earnings to grow tax-free. Most financial advisors recommend basing this decision on the tax bracket you expect to be in during retirement compared to your current tax bracket. You would then choose the account type that results in paying the taxes when you expect that tax bracket to be lower. Of course, it's difficult to predict the future and know how tax brackets will change by the time you retire. My view is that if you can afford to pay the taxes now by contributing to a Roth IRA (contributions are not tax deductible), then you will not regret having tax-free earnings later down the road no matter what tax bracket you are in when you start receiving distributions. Additionally, a Roth IRA does not require minimum distributions once you reach age 70 1/2 and may be a better option for passing on to an heir after death. If you find that you are already strapped for cash but need to start saving for retirement, then maybe a Traditional IRA is preferable.
So now you have contributed your matching amount to your 401(k) and $5,000 to your IRA. If you find that you are able to contribute more, where should that extra amount go? The answer is to the place that will still give you a tax advantage. That is most likely still your 401(k), assuming that your matched contribution is less than the annual contribution limit. You would, therefore, max out the 401(k) contribution ($16,500 for 2010).
If you still find yourself with additional money to save for retirement, there are several places to save it, but none of them have any tax advantages. The first would be to contribute non-deductible amounts to an IRA but this just complicates the IRA account by mixing the tax treatment of the earnings and provides no real benefit. This wouldn't be much different than simply putting the extra money into a regular brokerage account. In a regular brokerage account, taxes are paid on the earnings and the money can be used at any time for anything. Another option is to invest in annuities, which may have a death benefit ensuring the heir receives at least the amount of the principal invested even if the investments lose value. The downside is that these typically have higher costs.
The important part of all of this is to simply save for retirement using any of the tax-advantaged vehicles noted above. Save at least 10-15% of your gross income and you will be off to a great start.