I've had only 3 characters retire in all of my time playing...
My 2e Bard, Narik Gestare, took his enormous wealth and built "Narik's Palace of Pleasure" a hundred or so miles NE of Waterdeep. It was a building that connected several towers, which were used for an odd assortment of things. Gambling, prostitution, and selling exotic things were the most common. Narik also had begun a secret organization during the campaign and in a secret tunnel beneath the cellar was their base. We encountered Narik in quite a few of our other campaigns as an NPC. A town kinda built up around the Palace, and Narik pretty much ran things through a figurehead mayor.
I had a 3.0 Psion (telepath) retire, and he also built a large structure hidden away in some mountains. He had a 10th level Ogre fighter as his Thrall (who was badass and had a funny, if not sadistic, sense of humor), and began recruiting other psionic folk to start an 'army' of sorts.
My most recent was a 3.5 Fighter/Cleric/Tempest (took cleric for a few buffs, a bit of healing, and Will saves) and he's been one of my favorite all-time characters. Near the end of the campaign, he dealt some mega damage, had a good AC/HP, and was really fun to play. When we retired, he upgraded everything he could to the best he could afford (which was a lot) and traveled the land looking for elite warriors to recruit and train for his brother's (the paladin of the group) kingdom/army, to which he later became the head of the Elite forces. When the war the Paladin's kingdom was engaged in (23 years before the start of our next campaign) was over and won, Kale built himself a manor house on a plantation in a pretty secluded area. He married a woman and they had children, one of which I played in the next campaign who chose the wizard's path (and thusly died at the hands of an owlbear). Poor Kale...