It's a living-to-work vs working-to-live question, really. As it turns out, far more people choose to compartmentalize their work-life into an annoying, necessary evil than to dial back their standard of living while dramatically increasing their work responsibilities. And this is true of more than just programmers. I've heard similar from accountants, lawyers, cooks, bank reps -- basically everyone I've ever worked…
I think small businesses get about the sweetest retirement packages in the United States which do not involve backstopping by the taxpayers of California. With the SEP plan (one of a few options) you can sock up to, essentially, $5k + 25% of salary (capped at a very generous number) in a tax advantaged retirement account. It is like the IRAs available to regular wage employees, except superior in just about every way…
IRAs are personal retirement accounts, separate from the issue of employer compensation. Anyone can contribute up to 5k to an IRA in 2009. But if you work for a company with, say, a 401k, you can sock away up to an extra 16.5k. And (the relevant bit) when your employer (inevitably) contributes less than what you'd like, you can personally contribute until you hit that warm fuzzy feeling.
I don't know about you, but I've socked away more than 5k per year toward retirement. Rolling with just my own IRA wouldn't cut it. And the lost employer contribution to a tax-deferred plan is a non-trivial amount of additional compensation loss to be considered when moving from corporate employment to small business/self-employment.