Continuing the talk on the financials of various pro leagues.
The NBA has a very generous retirement plan. Up to $200k per year for qualified players. They also have a 401(k) with a max match - if a player puts in his max (~$18k), the league matches at 140%.
The downside is that you have to play 3 seasons to get even the beginner pension (closer to $60k), and 11 years for the max. As others have pointed out, getting on a roster is harder in the NBA due to the smaller number of spots available. Sticking for 3 to 11 years is harder.
MLB is a little less generous, but much easier to qualify for. 43 days on the active roster gets you in (around $35k, plus insurance). However, fully vested (10 years) only gets around $100k per year.
If you don't make the majors, you don't really get much though. There is a scholarship for players who go to the minors straight out of HS. While nice, this is not as valuable as a baseball scholarship, IMO. You don't get any help with admissions and you don't get the added perks of being a scholarship athlete (tutoring, etc.).
MLB really needs to start protecting career minor league guys better, IMO. However, the negotiations are between the owners and MLBPA, so they are not represented at the table.
The NFL's is the worst. It also has a 3 year requirement, which is just too long for the sport, IMO. It is improving but no where near what it needs to be.
Someone mentioned PGA, and they have one that is based on career winnings. I don't really know the details, but that kind of defeats the purpose IMO. Retirement plans should be focused on assuring the low performers are taken care of.
All things being equal, in terms of finances I think MLB players have it best, followed closely by NBA players.