Erin,
For most people, the decision to roll over a 401(k) is about investment flexibility, managing costs, and simplification/consolidation.

With a 401(k), you're limited to only the investment options that the 401(k) plan administrator makes available. With an IRA, you have far more flexibility in your investment selections. This is very appealing to some people, although it really depends on how involved you are with the investment evaluation and selection process for your own investments, and whether you've been monitoring your current 401(k) investment options enough to even know if you would want to find a better option. It's also worth noting that many financial advisors will also recommend rolling over to an IRA, simply because it gives them the flexibility to recommend the investment options that they prefer, although it also (typically) means that it's an opportunity for them to get paid for helping you with those investments (not necessarily a bad thing if they're doing good work for you, but you should be aware of the motivations there!). In some cases, this is about getting better investments to invest your retirement assets into; in other cases, it's just about finding a lower cost solution than the underlying expenses of the 401(k) plan and its investment options.

Beyond all the costs and investment choices, many people consolidate into an IRA for the simple reason of consolidation and simplification. You can establish a single IRA to be the rollover recipient of any and all 401(k)s that you accumulate over the years if/when/as you change employers throughout your career. Having one central account that "collects" all of your former employer retirement plans can be much simpler than dealing with the numerous account statements that you would otherwise have to track from multiple accounts. And this isn't just about the simplification of getting less mail - you'll also likely be able to get a better handle on how your retirement funds are invested in the aggregate when you see them on a single statement, instead of trying to piece together an asset allocation amongst multiple accounts.

I hope that helps a little!