-- Brokerage account: Let's say you want to start accumulating money for your son's future in a more general way -- a nest egg for when he leaves college, for example, or when he starts a family. In this case, consider opening a traditional brokerage account. You can give him up $13,000 each year ($26,000 for couples) without triggering gift taxes, and you can use the account to invest in essentially any kind of traded security or fund. But there are a few issues to be aware of: the so-called "kiddie tax," the impact on college financial aid and the fact that you lose control once he is no longer a minor.
Like any other brokerage account, a custodial brokerage account for your son will be taxable, but because he is a minor, the so-called "kiddie tax" rules apply. Under these rules, the first $950 in investment income is tax-free and the second $950 is taxed at his rate (presumably lower than yours). But after that, the income is taxed at your rate. (These rules have been toughened in the last few years to prevent parents from transferring large sums of money to their children in order to save on taxes.)
The impact on financial aid stems from the fact that when colleges determine aid eligibility, they'll assume that 20 percent of the child's assets are available for college. A 529 plan, on the other hand, is in your name and is considered a parental asset; only 5.64 percent of it is considered "up for grabs" in determining aid packages.
And finally, remember that once your son takes ownership of the money (sometime between the ages of 18 and 25), he can do whatever he wants with it. So if you believe that the account will be large, and you want more control, instead consider a trust account.
-- Retirement account: As you indicate in your question, many parents want to start early to build wealth for their children's retirement, and this is a particularly good use of the Roth IRA. But any kind of IRA can only be funded with earned income, so your son probably won't be eligible at least until he's a teenager with a job and a W-2 form.
When he does have earned income, however, a Roth IRA is clearly the way to go for retirement savings. Unless he makes a lot of money at a very young age, he will ultimately benefit more from the tax-free growth of a Roth IRA as compared to the initial deductibility of a traditional IRA. You can open a custodial Roth IRA on his behalf and deposit as much as he earns up to an annual limit of $5,000 (this amount will likely increase in the coming years). This is a great way to start building wealth for his retirement. Plus, he'll have a super-long time horizon, even if he's still in college or just starting his job.
When I was a kid, saving typically meant either a piggy bank or a passbook savings account (I had both). But for today's kids, saving can also mean investing, and you have a wide range of choices. The right choice will depend on what you're saving for. Good luck.