DH just changed jobs, and began the process of rolling his $120k 401k to a vanguard IRA. The previous employer's plan wouldn't do a direct funds transfer, he had to wait for a check (made out to vanguard) to arrive snail mail, then mail that on to vanguard, all while the market was lurching about. The 401k account lost a few thousand in value before they liquidated it and issued the check, then it took some time for the check to get thru USPS to vanguard. By that point, the market was beginning to rebound, so he missed buying at the bottom, but still got it in and got some gains afterwards.
All told, it probably was about two weeks time to transfer. If I'd known the market would get so unpredictable at the time, I would have first moved the 401k funds to a stable value fund, and then do the same at the other end and see before investing, but I wouldn't want to remain out of the market very long.
How the transfer takes place could affect the speed of the transfer; I was surprised it took so long for us.