Should You Leave Your 401(k) With Your Company?
1. Leave it where it's at, provided your ex-company will allow that.
2. Roll it over to your new company's plan. You might consider this in case you need to borrow funds from it (which I don't recommend).
3. Roll it over to an IRA.
Number 3 is CLEARLY the best option. Why? Flexibility! With an IRA, you can pretty much invest it how you want. Once it is rolled to an IRA, you can then convert it to a Roth IRA (yes, you will have to pay taxes on the rollover).
With a Roth IRA, you can take money out tax free when you need it. There are no mandatory distributions to worry about. Once you reach 59 1/2, you can withdraw how much you want when you want with NO TAXES. And, if you have read my stretch IRA posts (link 1, link 2), you already know about the powerful estate planning abilities of the Roth IRA.
So, in my opinion, if you leave a job and have money in your 401(k), roll it over into an IRA and then convert it to a Roth IRA as soon as you can. To learn more about IRAs and other retirement plans, read Ed Slott's two books.
DISCLAIMER: Consult your CPA or tax attorney before you make a decision. The purpose of this post is to give you ideas, not advice. Make the switch at your own risk.