Tamara, I agree with Steven that "best option" is a very subjective issue. In almost all cases, investing in a employers plan will cost more in terms of fees than buying the equivalent on your own. Those fees are not currently transparent, but will need to be so soon. If you transfer the funds into your new employers plan (assuming there is a new employer), you likely will not be able to get the funds out until you later leave employment from the new firm. That leaves you subject to limited investment choices at a higher cost than just buying no-load investments directly. I do have a bias however as a professional advisor that manages portfolio’s, and as an option you could consider hiring an advisor to manage the investments for you. When you add the advisors fee, that then could also be larger than what you would pay to roll the funds into your new employer, HOWEVER, you certainly should be able to expect to get value for that fee. One would hope the advisor can more than make up his fee by the professional management, and you might also get additional value adds, such as financial planning services to help you understand the investment direction that would best serve your goals and needs.
Best options is a dangerous question. You will need to qualify the question. If you plan on retiring before you turn 59 and a half or a loan from your retirement plan might be an option you should consider transfering it to your current employer plan. If neither of these scenerios are likely to apply to you a self directed Rollover IRA is probably the best option. Within a Self Directed Rollover IRA you will have plenty of options to match your risk tolerance. If you do not know to measure your risk tolerance get qualified help with this first. One of the biggest problems people have is not the investments they choose it is that they are inconsistent with their rist tolerance. I would suggest starting with someone that is fee only so that you can get the information first and then decide what is best for you. There are also some free tools on Charles Schwab, TD Ameritrade, Fidelity, and Vanguard's websites to help you if you choose to do it on your own.