A 401K usually has masive fees and limited selection. Thus 401K investments are usually a poor choice, except for the fact that companies often match. Thus, without the match, you are almost always better off in other investments. Note: you could certainly do worse by investing in a high fee fund, but we know you'll ask ATOT first before doing something like that.
Generally options are Roth IRA (post tax money), pre-tax IRA, post-tax IRA, and just a regular investment without regard to retirement. I'm not a tax expert, but from what I read in the 1040 instruction manual, you may be limited in your choices. In the worksheet to calculate how much you can contribute, you have to select if you were covered by an employer's plan or not. Your answer is half (you were covered until today) and half (you weren't covered after today). So, you might want to ask in the tax thread, see an accountant, or read IRS Publication 590 to see if you are limited in what you can do. The limitations would apply to Roth IRA and the pre-tax IRA. Post-tax IRA and regular investments are never limited.
If you want pre-tax investing, you are stuck with the pre-tax IRA. Typically you can invest up to $5000 a year this way, but there are some exceptions. I suggest looking into Vanguard or some other low cost company, pick a fund ($3000 minimum with Vanguard), and stick it all into one or two funds as soon as you can while prices are good. They'll ask and make certain that you say you want it with pre-tax IRA funds.
Post-tax is also a good route. You are gambling on tax rates. If tax rates go up by the time you retire, then you want to pay tax now when you get a good deal (go Roth IRA or post-tax IRA). If tax rates go down by the time you retire, then you want to pay tax then (pre-tax IRA). Since tax rates are historicaly pretty low now, you probably should expect them to go up.
Don't borrow from your 401k. There aren't any penalties or taxes from borrowing IF you can repay it on time. But, if you lose your job, you instantly owe it all back. It is really hard to repay a large loan just when you lose your job. So then, you are stuck with massive fees AND you have to pay income tax on that money you borrowed. That is a double whammy just when you lose your job.
If you need to pay off debt, the better option is to just stop investing for a brief period, pay off the debt, then invest again.
