Independent retirement plans are mostly based on age and income of the investor.
I would go with a SEP IRA (Single Employee Pension) for many reasons.
-You can deduct the amount of your contributions against your income to lower your taxes.
-You can contribute more money to a SEP then a regular (deductible) IRA
-You can change your contributions on a year to year basis.
-If you ever decide to go back to work you don't have to roll your SEP into your employers retirement plans
-SEP IRAs can be set up as late in the year as April
-No annual government reports
-A deductable of up to 5k in start up fees
-No taxes on earnings or invesments
-If you ever plan on hiring anyone to assist you the SEP IRA is a much easier process with regards to employees then a Solo 401(k) or a Keogh
A few things to note:
If you think your business will steadily grow then SEP is the way to invest. If you anticipate having about the same income year to year and not maxing out on contributions (20% for SEP, maxed out at 45k a year) then a regular IRA is probably the best choice as there is less paperwork involved. Also if you have a SEP IRA and a regular IRA the regular IRA may be only partially deductible.

If you are under 40 I recommend also investing in a Roth IRA to supplement because you pay your taxes up front. This is beneficial even though it can be a pain in the ass to fork over the money now, ideally there will be more money when you start to withdraw from the fund. Though not all withdrawals are free of tax penalty (most are if you are older then 591/2 and have been contributing for more then 5 years) transactions that occur inside the Roth are not a tax liability. Also there are fewer restrictions on withdrawals (which is a huge plus if you find yourself in dire need of quick cash.) Also tax rates now may be lower then tax rates at your anticipated year of retirement (or when you plan to start withdrawing from the fund) and by paying out now you will probably save money later on.

I would also read through the IRS page here
www.irs.gov/businesses/small/index.html

I'm not allowed to give specific advice to people, or I would drop you a message.
All the best!!

A big question you need to answer for yourself is this: are you willing to pay taxes on the money now, or do you want to postpone paying the taxes until the future when you are retired? The reason a lot of people choose to postpone the taxes is that (presumably) the income they make today is high enough to put them into a higher tax bracket than what they expect to be in when they retire. HOWEVER, I would suggest that a dancer think carefully about this - a dancer's income today is likely to be a lot lower than, say, a doctor or lawyer in private practice. In other words, the tax bracket you're in today may be the very same one you'll be in after you retire.

Why does this matter?

Well, if you put your money into an IRA, you lose a certain amount of control over it. For example, if you were to suffer a catastrophic financial event (such as a car accident that would prevent you from dancing for several months), you'd have to "take out a loan" from your IRA, pay interest on that loan, then pay it back in the future, etc. In contrast, with a non-IRA type of savings account you could just simply withdraw what you need, and that's that. No rules. Sure, you'd still need to restock the account if you want the money to be there in the future, but you'd have more control over when/how to do that.

In today's economic crisis, I believe that all money put aside in IRA's and 401k plans is at risk of the government imposing even more governmental control over it. Because that money was set aside under a special program in which the government offered certain concessions (tax breaks), the government feels a certain entitlement to control what you do with it. There have been hearings before Congress in which proposals were put forward for the government to seize these accounts and manage them for us. The rationale was that people invested their money badly in these accounts, and these accounts have lost a lot of their value as a result, and surely the government can care for our money better than we can. Now, just because someone proposed this doesn't mean it will come to pass, but it makes you think. Even if the proposal I just described is discarded, the seed of an idea has been planted - the idea that the government feels it has the right to interfere with that money we have set aside for our future.

Although I participate in a 401k plan in my corporate day job, I invest ONLY the maximum that my employer will match. The tax laws would allow me to put additional tax-deferred money into my plan beyond what my employer matches, but I choose to not do that. The reason is that I want control over decision-making on that money. I want control over where it is invested, and I want control over the decision of when to withdraw and use it. I'd rather pay taxes on it today and "own" that money free and clear of any government claims. The way I see it, if I find myself in a situation where I need that money, I'll have enough stress in my life without the added stress of fighting government rules to get access to it.

Financial institutions will allow you to open savings/brokerage accounts that allow you to participate in the same investment options as IRA accounts, but without the government rules. This is what I've done with my non-401k savings.

One more thought...

I recommend spreading your savings across accounts in multiple financial institutions. A lot of banks are tottering on the brink of insolvency right now, and you don't want to have all your eggs in one financial basket.

Wow... thanks everyone for the help and advice! I'm still trying to figure it out, and my former day-job retirement fund is just sitting there in a low-risk account (hardly lost money during the crash, thank goodness).