You've got four options for the plan you left behind, and one of them is expensive enough that it deserves its own paragraph.
You can leave it where it is. Most plans allow that above a minimum balance, and it's fine if the fund lineup is decent and the fees are low. The real problem is drift. People move, plans switch recordkeepers, and ten years later nobody's certain which company is holding it. Oregon and most other states run unclaimed property databases full of exactly this.
You can roll it into your new employer's plan. One statement, one login, and you keep the option to borrow from it if that plan allows loans. You're limited to whatever investments that plan offers, which is sometimes the point and sometimes the problem.
You can roll it into an IRA. Widest menu of investments, usually the lowest cost, and it stays yours no matter where you work next. The trade-off is that IRA money carries less creditor protection than a 401(k) in a lot of states, and having a pre-tax IRA balance complicates a backdoor Roth if you ever do one.
Or you can cash it out. Say the balance is $40,000 and you're in the 22% federal bracket and under 59 and a half. That's $8,800 in federal tax, a $4,000 early withdrawal penalty, and roughly $3,500 to Oregon. You'd see something near $24,000, and the plan withholds 20% before the check even prints. The tax is the smaller loss. The bigger one is that the $40,000 stops compounding.
Whichever of the first three you pick, ask for a direct rollover, trustee to trustee, and get the confirmation in writing. If they mail you a check made out to you instead, you have 60 days to get it deposited and you'll have to replace the withheld 20% out of your own pocket to keep the whole thing tax-free. Once it lands, the next question is what that balance actually pays you every month in retirement, which I ran through in turning a pile of savings into a monthly paycheck.