Do it after a major accomplishment, so that you could walk off with your head held high. For example, it would have been cool to see Ichiro announce his immediate retirement the day after getting his 3000th hit (except that his team is in the race for the Wild Card).

For example, Edgar Renteria could have retired as the reigning World Series MVP (with a WS-winning home run in his last AB, no less) had he hung them up at the end of the 2010 season. Instead he tried to hang on for one more, utterly mediocre, season with Cincinnati.