If you have a 'money purchase' pension, the main question is likely to be whether you will pay less in charges if you transfer.
If you have a salary-related pension, you may not have too many options, as your new employer's scheme may not allow you to bring a transfer in, or may allow it only on a money purchase basis. It's unlikely to be a good idea to convert a salary-related pension into a money purchase one.
If you are offered the option of a transfer, you should probably take financial advice before you make your decision.
Be very careful of anyone offering you the option of getting cash out of your pension before your retirement: you can read more about this on the Pensions Regulator website.