Yeah, they get you every way they can. We paid taxes when we earned the money that we invested, we pay taxes (more) if we make money on the investment and it's short term, still pay taxes if it's long term. Nevermind city, state and local tax.
I know, go IRA. My company didn't offer an 401k Roth until about 6 years ago, since then I have, and I'm old enough I'm in "catch up" years so I can put more than 23.5k (I can do 31k this year). Regarding a straight IRA I'm old enough I can do 8k there and my MAGI is enough I can do even more than that. I was dumb when I was younger and had a straight pre-tax investment account. Now I'm maybe 70% 401k, 25% 401k Roth, 5% IRA.
I need to talk to a retirement expert though, we've decided my wife is retiring in 3 years, I WFH so I'll milk this job until I'm tired of it, then retire. We owe nothing anymore, so it's really a lifestyle choice at this point what we do next. I like my job and the income that comes with it, so I'm lucky there.