You can, but it's a good idea to consider the impacts of each option before making a decision to take money out of the plan.
When you take money out of the plan in a check payable directly to you, 20% of the original balance will be withheld for federal income taxes before you get the check, so you won't have the full amount to roll over. Learn the potential consequences of withdrawing cash from your 401(k) with a previous employer versus rolling over to an IRA.
You can still deposit the money into an IRA or your new company sponsored plan, but you must do this within 60 days.
If you don't deposit the withheld amount to the new IRA or company sponsored plan, it will be added to your ordinary income (which may be taxable) and may also be subject to IRS penalties
The 20% that is withheld for taxes is considered normal income tax withholding, as is the case with your paychecks. If you overpay taxes for the year, you may get some of it back in a refund when you file your tax return.