Most 401k plans don't allow you to move funds into an IRA until you've left the employer.  Your plan may allow an "in-service" withdrawal that lets you move a portion or all of the funds after you've reached 59 1/2.  This could be ideal, especially if you want to take advantage of funds or investments that are not available in your 401k.  Many investors will roll their money into the IRA to take advantage of CD's, stocks or ETF's.

Forbes.com explains the great escape of 401k-"in-service" withdrawals.

The law permits this, but employers don't have to permit it. Still, 70% of companies--and 89% of those with 5,000 or more employees--allow these in-service withdrawals, the Profit Sharing/401k Council of America found in a 2006 survey of 1,000 firms. So do some public sector employers; the federal government, for example, allows older workers to withdraw funds, but only once.