1) Your current investment options and services (Some company may charge higher fees if you are not employee any more)
2) Now company's 401k investment options and services (some smaller employer may have higher fund expenses)
3) Do you need flexibility on $$ in the account (IRA will allow you buying stocks, play options even buying rental properties; also to conv into ROTH IRA partially so you are not forced to withdraw when you turn 70 1/2).
Good Luck!