Instead of maxing a 401k, have any of you decided to invest in a business, property or other investments and what were the lessons learned?

Maxing out a 401k seems like the safest bet for retirement with a great tax advantage. However, I was wondering if anyone tried alternative different path? I know some people who’d rather invest in real estate as they say it’s more tangible or others who think choosing your own investments while riskier could have more reward. Any real life stories and how did it or how is it turning out?