If the investment choices are good and the amount of money is significant, I would consider leaving it in the 457 plan. Because it is deferred compensation, not a qualified retirement plan, there is no penalty for taking distributions prior to age 59 1/2. 457's can therefore be helpful to the early retiree.
One caveat is that non-governmental 457 accounts are not held in trust for you, but remain the property of your former employer. Should the entity go bankrupt, your account would be treated as an asset and you could lose it in the bankruptcy.