jandrews said perfectly what I was going to say while I read through the first few posts.
One thing I don't think he emphasized enough is that you can get a Roth account just about anywhere. There's nothing magical about it. You can open an IRA if you open an account with Ameritrade, Scott Trade, Vanguard, Merrill Lynch, (many) local banks/credit unions, etc. I happen to like Vanguard b/c of their low fees and their great selection of investment options.
My opinion is that if you don't put money into your 401k up to your company's match limit (assuming it's a decent match), you're literally throwing money away. My company matches 75% of the first 6%... so if I make $100k (I wish) and invest 6% of that ($6,000), my company will throw in $4,500 (which is 75% of $6k) of their money. You IMMEDIATELY make a huge return (in my case a 75% return). Even given the tax effects of Roth over IRA, you're foolish not to take advantage of the match.
We 'max out the match' at my company, and put the rest in Roth IRAs. When we make enough to save enough to max out our Roths, we'll start into Roth 401ks, which my company started offering last year.