Basically you retire without permission from the umpires (who only give permission for injury) and the opposing captain. It's happened in international cricket.
It is semi-common for unofficial warm-up games to have lots of retired not-outs, but that's because the opposition captain allows it.
Law 25 clearly states this difference
...Why do I even bother?
Don't think retired out should *really* be there. Unless the laws have changed recently, it's not one of the 10 ways of getting out
I do love watching highlights of some of the spectacular catches, though.