Some 401K firms allow fully self-directed plans, eg:
http://www.theonline401k.com/
They allow you to open up a Schwab PCRA account where you can buy/sell stock, bonds, options, mutual funds, ETF's just like at any other brokerage account. Obviously margin accounts are not allowed for 401k because you can't replenish if you lose more than your value, and there are similar options on naked shorts and selling naked options.