Roll some 401k money into IRA?

I want to take maybe $10,000 from my 401k and put it into an IRA or a Roth IRA so i can invest in individual stocks (my 401k only offers mutual funds/bonds). I am not quitting my job. Our 401k plan is with Merrill Lynch and I'd be willing to just open this IRA with them. I know the money needs to go directly to the IRA not to me. If I do this can I avoid the 10% early withdraw penalty. I mostly want to do speculative investing in stem cell companies and clean energy companies. I'm only 29 and have $108,000 in my 401k right now so as much as I want to avoid a 10% penalty I don't care if I have pay it, I really want to invest in individual stocks. I plan on calling Merrill Lynch as well, but before I get their biased advise I would like to hear from the public. Any other thoughts/ideas/suggestions for me. Thanks