It is super easy, I just did this for my wife's accounts.
1. Open a traditional or "Rollover" IRA online at Vanguard (or Fidelity). You can do this online, without any help, in about 15 minutes.
2. Initiate a Rollover for your 401k. Put in the approximate amount, and then Vanguard will give you instructions for your other provider. Then - contact the 401k provider, and request their rollover procedures. Every plan can be a little different here - generally they have an online or printed form that needs to be filled out - with the destination account number/company, with you authorizing the rollover. Then they will handle the transfer either by wire, or a check. The check might be sent directly to your new provider (Vanguard) or it might be sent directly to you but made out to Vanguard with your account number referenced. Either way - this process usually takes about two weeks.... but it relatively painless.
2a. If all the money you have in the 401k is pre-tax, there is nothing left to do. If any of the money is after-tax, or Roth 401k, then roll that to an existing Roth IRA, or open a new Roth IRA at Vanguard (or Fidelity) and roll the after-tax portion to the Roth IRA.
We used Vanguard for her. You can always call Vanguard if you need a little hand-holding, but it was really straightforward. The hardest part was dealing with Schwab, where we were rolling her IRA and 401k from.