If you're focussed on returns, unless you have significant control over the companies you invest in, investing anything but a low-overhead tracker of a well-known index is not investing but just plain betting.
If you're not just focused on returns though, you should invest 'on principal' in what you believe in.
I always believed that small companies would in general do/be better, therefore I would've invested in small-caps. Some people want to fund a more eco-friendly world and invest in CleanTech funds. Now if you believe want a world with more startups, you can invest in that.
But yes, having a managed 401k is giving your money to a bunch of dispassionate bureaucrats which in general is not that smart of move.
[EDIT: I didn't know that 401k has tax benefits which might offset the overhead of the bureaucrats.]
As wpietri correctly assumed, I thought that a 401k was by definition a managed fund and my comment was directed at managed funds in general.
That's a reasonable suspicion. Warren Buffett's involved in a million-dollar bet on the same topic: http://longbets.org/362/