For what it's worth, the distribution I'm currently using is roughly
41% large cap stock index fund
29% domestic bond index fund
17% international stock index fund
8% small cap stock index fund
... with about 2/3 of the money sitting in my 401(k). I should note that this is actually considered a moderately aggressive position.
I need to phone my advisor (NOT a broker, so they aren't biased toward things which are more profitable for them) and check whether I've gotten close enough to retirement that I should readjust those numbers.
Could I do better? Maybe, at higher risk and higher fees that would be likely to eat most of the improved returns. Or by spending far more time micromanaging my money than I have any interest in. I've validated this distribution using the various stochastic models and it seems to work well enough that I'm generally content with it.
(As I noted in a comment elsewhere, many of us will want to get up into this range before we retire -- I figure that if I hit $1.8M I can probably sustain my lifestyle solely on the income, despite expected inflation, and thus be safely covered for life -- so this isn't all that huge a chunk of cash by today's standards. Cue Daffy Duck: "I'm rich! I'm wealthy! I'm comfortably well off!" -- $2M, these days, is "comfortably well off.")