Are there any 'good' non-market retirement vehicles?

Dont you invest HSA amounts into funds?

If you are eligible for an HSA because you have a high deductible plan, it's a place you can stash money. You can invest it in securities or leave it in cash.

When you say "market" I assume you mean stock market?

Other places to put money:

Real estate (either direct single ownership, direct ownership of an investment partnership, or a REIT type investment)

Annuities (most are based on stock market investments or provide a fixed return)

Tax lien sales (I think a couple of guys on here dabble in these)

Whole life (it's a good place for tax-deferred growth once you tap out other buckets like you have, however, it's still either market based or a fixed rate of return)

Angel investing (investing in small companies, either directly or through an investment partnership)

Market-linked CD's
Muni bonds/funds
MLP's (Master Limited Partnerships)
REITs
UITs

Yes but you don't have to. Just another place to save advantaged money.

A lot of MLPs have taken an absolute arse whipping with the oil downturn. Also, as mentioned K-1s are a pain in the arse and sometimes don't even come out until June or so.

seriously though

REAL ESTATE........in many forms

rentals
tax liens
private lending secured by RE

An MLP is taxed like a partnership, not like a corporation. Whereas most investments in a retirement account pay dividends (which are after corporate tax allocations of cash), partnerships allocate income as well as distributions of cash.

That's a problem, because as you are aware, IRAs and the like don't normally pay current income taxes.

Because of this, if an IRA is allocated income from a partnership investment, called unrelated business taxable income, then it has to file Form 990-T and pay tax on that income allocated to it. This prevents the income from the partnership from avoiding taxation.

The vast majority of MLPs throw off losses each year (due to accelerated depreciation deductions which are the reason MLPs form as partnerships in the first place) so for most MLP investments, this isn't an issue. However, there are a few that do throw off income, and if you have enough units, you could have an issue.

The filing threshhold is $1,000 of UBTI.

That's why I say "can sometimes not be friendly".

Real estate and land. Look for good deals. You should consider that your nest egg is paper. I'd start considering tangible assets that can be sold for profit in the future.

Not Whole Life insurance. If you need insurance, buy term. Also, shoot to have a paid for residence in a good area by the time you retire. A few around here instead of that are in a bad area and have had to sell low and buy into better areas with new expensive mortgages in retirement.
whole life discussion to consider

Some other possible non-market lifestyle retirement vehicles
1) drive cheap to maintain reliable cars, according to true-cost-to-own websites this can free up 5k a year which invested over 30 years can add up to $600,000.
2) do not outsource your food, learn to prepare the basics, this will return priceless dividends of both wealth and health. Eat out only when sick of own cooking for a break.