See link...

http://www.forbes.com/sites/kerryhannon/2011/04/01/the-best-retirement-plans-for-the-self-employed/#585670412d1

look into a Roth IRA it would be your best bet...
 

If you want to set up a SEP401k or an IRA (I think you get set aside a lot more of your income with a SEP) you should consult with a certified accountant and/or tax lawyer.  You need to make sure its done right otherwise IRS might be showing up at your door with an audit.

..Individual Retirement Account...with one of many institutions. The maximum yearly contribution is $5,500. $6,500 if you are over 50.

I'm self-employed, with a personal LLC, and I have a SEP through one of the big fund companies. Contribution limits are based on a combination of age and (reported) net income. Contributions are tax deductible.  You could talk to Fidelity, Vanguard or such and they could set it up, perhaps even in time to get a deduction for 2015 tax year.  

My SEP would be bigger if I hadn't recently discovered this life-extending hobby.

The average return on investment of IRA or 401k is about 5%.  If you are young the best bet is instead to save up and by a house with enough down payment/equity to avoid having to buy mortgage insurance -- which is just throwing money away

But PLEASE remember that these accounts have limitations and also requires you only to use them for a percentage of your CLAIMED income.  So don't think you can claim a $20K income but contribute $30K to a SEP-IRA, because you can't.    (For 2016 the max you can contribute to a SEP-IRA is the lesser of 25% of your income OR something more than $52K ($53K, I think) this year, theoretically.  BUT, a SEP-IRA requires W2 income, not 1099 income, so that would be another expense for you.... If you have an LLC, a 401k might be a better option -- but the max you can contribute in 2016 is $18K, and 2/3rd of that ($12K) if it is a Simple-IRA.)

I've seen recommendations from people whose knowledge of investment I respect and they recommend index funds and Vanguard.