It appears we need an EIN for the individual 401k. Does this make sense? Is there any reason not to get one?
I was able to open an account at E-Trade without an EIN years ago. However, I now think they let me do that incorrectly, so I got one later on. Form 5500-EZ, which you'll have to file when you've got more than $250K in the plan requires an EIN.
Very easy to get one. Not sure there is a downside.
Is an individual 401(k) easier/cheaper than a SIMPLE IRA?
No - generally speaking, the SIMPLE is slightly easier and cheaper. The downside of the SIMPLE is that the contribution limits are lower. With the I-401K, you've got 18K +25%. With SIMPLE, you've only got 12.5K + 3% to work with. The decision is really between a SEP and an i401K if you've got no employees and are trying to defer as much as possible, although if you're not wanting to defer all that much, a SIMPLE is another way to go.