Anyone that has a career longer than a year likely has several accounts at several places. I have like 8 different accounts, and I'm as consolidated as I can get.
There's nothing wrong with having a bunch of different accounts. Sometimes there is no way to condense them down - like if you have a Roth IRA, a traditional IRA, a 401k and a 403b. None of those can combine with each other, because they are different types of accounts. But if you have like 3 different Roth IRAs at 3 different companies, then you could transfer all three of those into a new consolidated Roth IRA.
That being said, any account that you can move to someplace like Vanguard is a good idea in general, as they are likely invested in very poor choices (high expense ratio type of funds and costing you additional manage fees too). Fidelity or even T Rowe are also a decent choices.
State Farm? Similar to some of the other stinkers like American Funds or worst of the bunch Edward Jones. Get the hell out of those places as soon as you can exit them.
To do so would require setting up equivalent accounts at the new place (assume it is Vanguard) so you'd call up Vanguard, open the needed accounts - Roth IRA, traditional IRA, etc., and then fill out the transfer paperwork, get it sent in, and wait for them to process the transfers.
You can do this "in kind" which means you don't sell off any of your existing funds/holdings, unless the old company has proprietary funds that can't be held outside of their company's clutches. In that case, they'll sell the funds, and transfer the money over to the new Vanguard accounts. Or you could sell off everything before the transfers, so it's pure cash that gets pulled into the new accounts. As far as selling off everything, you'd need to make sure there were no penalties or charges for doing so one way vs the other (they'll have fees sometimes if you sell them at OTHER places, but not if you sell it in the existing accounts for instance).
And be prepared to get hit with closing fees, transfer fees, and any other type of "f-you for leaving us" type fees. They'll range from $50-$200, but it's worth it to get your accounts out of the crummy stuff most every time. But do ask so it's not a surprise. ;)
Really tho, you should call up someplace like Vanguard and ask them to walk you through the process and then call up the places you have the accounts currently and ask about the fees for selling, fees for transferring and all that jazz. Definitely want to get it direct from the sources and not rely completely on anything I'm saying. :D