Good news: There are a lot of them. The challenge is figuring out which of the major lone-eagle plans best suits you.

The most common retirement accounts for the self-employed are SEP IRAs, Simple IRAs and individual 401(k)s. These plans have two factors in common: up-front tax breaks and tax-deferred saving, meaning you don't pay taxes until you withdraw the money in retirement.

The Roth version of the individual 401(k) is slightly different: you don't get an up-front tax break, but your money not only grows tax free, withdrawals in retirement are also tax-free.