That can sometimes depend on whether or not the money is invested in proprietary funds. If so, you might take too much of a hit to move it.
Personally, I prefer to roll over my 401k into a personal IRA I have with an online brokerage. If you have changed jobs a few times, it can be a hassle to manage all those 'orphaned' investments. But if you roll them all over into one account, you can manage them more effectively. (In my opinion.)
And consolidating your various accounts can also help to reduce the fees you might end up paying on multiple accounts with lower total balances.
Good luck! =D