Personally I would (and have in the past) rolled my 401k’s to a Vanguard IRA. I like consolidating them…it makes it easier to track and re-balance. RMD’s will be easier to handle, when the time comes. And Vanguard’s costs are so low, unless you’re coming from the TSP, your costs will (at worst) stay the same or (more likely) go down.
One plus of rolling it into your new employer’s plan is if you’re planning on doing a backdoor Roth. Having pre-tax Traditional IRA’s usually makes backdoor Roth’s impossible (or too costly).
Keep in mind that your 401k contributions are always yours. Yes, they may be added to via your relationship with your employer, but the assets are kept separately from the company assets (and creditors). Once vested, the company contributions are also yours, no matter what happens to the employer.