Your sim will keep any skills or objects gained while employed in a career, such as the police car if your sim was a high enough level of law enforcement, or any of the rewards in Ambitions careers like the fire engine, stylist mirror, medical skeleton, or even the little ghost spirit detector. However, you will lose the ability to use them in a career-like way. Your retired or career-switched ghost hunter sim, even though they still have the little meter, can only switch it on to see the spirits, but they can no longer capture them. Your former doctor won't be able to pass out experimental medicine.
Very early on (we're talking before World Adventures came out) this wasn't true, and with aging off or slow, you could make a sim that had the special interactions of all the base game careers by having him or her max it and then switch to another, but that was taken out with a patch, sadly.