Question: Are there any valid reasons to ***not*** rollover a former 401(k) when changing jobs?

I have several little ones that I never quite got around to rolling together - with an upcoming job change, should they all be combined into my new employer's retirement plan? If not, what else might be considered?

Answer: 
The biggest reason why one might want to leave 401k money invested in an ex-employer's plan is that the plan offers some *superior*
investment opportunities that are **not** available elsewhere,
e.g. some mutual funds that are not open to individual investors such as S&P index funds for institutional investors (these have expense ratios even
smaller than the already low expense ratios of good S&P index funds)
or "hot" funds that are (usually temporarily) closed to new investors,
etc. The biggest reason to roll over 401k money from an ex-employer's
plan to the 401k
plan of a new employer is essentially the same: the new employer's
plan offers *superior* investment opportunities
that are not available elsewhere. Of course, the new employer's 
401k plan must accept
such roll overs. I do not believe that it is a *requirement* that a 401k plan
must accept rollovers, but rather an option that a plan can be set up to allow 
for or not. 

Another reason to roll over 401k money from one plan to another 
(rather than into an IRA) is to keep it safe from creditors. If you are 
sued and found liable for damages in a court proceeding, the plaintiff can come after IRA assets but not after 401k money. Also, you can take a loan from
the 401k money (subject to various rules about how much can be borrowed,
payment requirements etc) which you cannot from an IRA.

That being said, the benefits of keeping 401k money as 401k money must
be weighed against the usually higher administrative costs and usually
poorer and more limited choices of investment opportunities 
available in most 401k plans as Muro has said already.
Another minor reason not to rollover would be to avoid the pro-rata taxes when doing a [backdoor Roth IRA contribution](http://en.wikipedia.org/wiki/Roth_IRA#Traditional_IRA_conversion_as_a_workaround_to_Roth_IRA_income_limits).