Personally, I would take the money (depending on penalties) and buy a home. As spdrun commented, it is merely a different investment vehicle. Some retirement plans will allow you to borrow from yourself for home purchase. This would probably be the best option.
If you cannot borrow in that manner, you should crunch the numbers and try to purchase a house which will be less than your current rent, and you can begin immediately rebuilding what you have taken out.
The sooner you start paying a mortgage, the sooner you are done paying a mortgage...
