When you change jobs, you can rollover your 401(k) into an IRA, so if you're in an industry where change jobs every 3-5 years, the extra savings makes the difference pretty small (you can always put your money into a low-fee index fund in the 401(k) and then manage it more when you rollover).

Further, a lot of 401(k)s at larger companies that use Fidelity (at least, possibly others) have a feature where you can allocate money into a general brokerage sub-account, where you can invest in anything you could if you opened an IRA at Fidelity.