[scottjad]

By far the best investments are the ones where you can play a major role in determining their return. So basically business ventures.

As for passive investments, if you buy David Swenson's argument that asset class is almost everything (timing and picks are really hard) then what to invest in depends a lot on your macro outlook. Personally I'm bearish on bonds, US residential and commercial real estate, and USD/euro, and bullish on Asian stocks and commodities.