Ditto, what brewer said. Without going back and checking specifics, I think you can contribute as much as $15K more under the individual 401K then with the IRA plans. There is more administrative paperwork with the 401K but it isn't too complicated. The much higher contribution limits more than compensate for the minimal added hassle.
When we set ours up, Vanguard did not offer the individual 401K plan. Fidelity does, but only through their brokerage service (which can be an issue for some people employed by other financial institutions, like me). T. Row Price offers the service as "mutual fund only" which is why we went with them - I'd have gone with FIDO if they didn't make you go through their brokerage.
Here is a link to the T Row site
that shows you the max contributions for the individual 401K plans ($44,000 in 2006, but as much as 19K when business profit is only $25K i.e. 76% of business profit).