Why roll over your retirement funds?
When you change companies, you have the option to take an early withdrawal of your funds, which you can then use however you please. However, this is not really the optimal plan, unless you have some kind of investment that can more than cover the 10% penalty and additional taxes that may be incurred.
No stocks can guarantee that kind of return, so it generally makes a lot more sense to simply roll over your retirement funds into a similar account to protect them, shield them from taxes (unless you're rolling them into a Roth IRA), and keep your costs low, preserving your retirement money.