As I’ve mentioned in my SEP IRA versus Solo 401(k) comparison, the problem with the additional paperwork involved with a 401(k) is that you have to find an administrator that is willing to do it for you at minimal cost. Compare that with the SEP-IRA, you can usually walk up to many brokers, open up an account, and start trading anything with no annual fees and just commissions.
For example, I opened up my SEP-IRA last year with Vanguard, but I can’t open up a Self-Employed 401(k) with them directly as they won’t be my administrator. The only option I found was to go through a third-party administrator like 401kBrokers, which charges an annual maintenance fee of 0.25% of the account balance. I think the fees are pretty fair considering there is no setup fee or other annual fees, but I still don’t want to pay them if I don’t have to.
The most attractive administrators I’ve found with low fees and a good selection of mutual funds are Fidelity and T. Rowe Price. Both of them will set you up for free and have minimal fees except for the usual fund expenses. (T. Rowe Price does charge an annual $10 administrative fee is charged for each mutual fund account with a balance of less than $5,000.) I am leaning towards Fidelity as they have index funds with 0.10% expense ratios, but they also have $10,000 opening minimums. I have dealt with them for my corporate 401k in the past and their customer service was excellent.
You can find a huge list of Solo 401k brokers here [pdf]. Most of them charge annual fees, which is understandable since they don’t own the funds they need a way to cover their costs.
You can set up a new Solo Roth 401k through 401kBrokers as well, but not through any of the big guns like Fidelity or T. Rowe Price. I’m sure it’s just a matter of time.