Hi All,
It is good to see that I have company. I am 38 and I too (sometimes) wonder what next? Although I have only 10 years experience in SAP, I think the overall age will matter at some point of time. I too thought about your points and here is what I feel.
Early Retirement:- At least for me, it will require a bit of luck as well. To get a client who will pay a handsome rate and it continues to happen for next few years.In addition, having migrated to another country at this age means almost like starting from scratch. So it is ruled out for me.
Freelancing:- It is really tough and dynamic!! Freelancing means almost like running your own business Good contacts are a must. Not everybody's cup of tea. Although you might get a chance to sell various skills rather than just one.
Management: - Well..go ahead if you love meetings, emails and spreadsheets 
. Just like freelancing, it is another dynamic form where you need to ensure that absolutely everything is going well. You need to meet people, set expectations, discuss, bargain, resolve conflicts...really a special personality is needed for this role.
In house: - In my experience in house roles are best if you want to develop yourself. They give you opportunity to interact with business, understand the process really well and get trained in a skill and then utilize it.
Do something new:- I am focusing on this right now. I have done a lot of work that can suit a business analyst / systems analyst role and I am trying to move in that domain and kind of become process focussed with technology as special skillset and advantage.
I hope what I shared is in line with the discussion. Very keen to know what others think as it is a key question for me, that I'll face more than once..
Regards
Abhi