You should roll the 401k into a Rollover IRA at Vanguard and put it into a Vanguard Target Retirement Date Fund based on when you want to retire. Call Vanguard and they'll walk you through it, its easy. The Target Date Fund sounds boring, but its actually awesome. You could also buy a mix of your own funds as discussed below but I wouldn't recommend it as a first option.
I would say the three most important things in investing are, in order:
1) personal finance - make sure you're saving enough. If you're saving peanuts, it doesn't matter whether you're getting 3% or 12% return. you have to be saving enough.
2) Sticking to a good asset allocation. A wise investor has a mix of assets that is suitable for his risk tolerance, and this investor maintains this mix of assets whether the market is up or down. For example, you stick with a stocks/bonds ratio of 75/25 whether we are in a bull market or a bear market. One very good option would be something as simple as a Vanguard Target Retirement Fund which will maintain a mix of stocks (US & International) and bonds, and do a yearly adjustment to it based on how close you are to retirement. If you wanted a more hands on approach and a lower cost (by approx 0.05%), you could buy a mix of funds that mimics the target retirement funds plus perhaps a small cap value fund or an REIT fund.
3) invest cheap. basically, active mutual funds cost > 1% but don't beat the return of the indexes they try to beat. So, it is better to just pay a cost of 0.1% and just mimic the index. Investing through index funds gives the best odds of highest returns.
If you're really interested in learning the best way, do some reading:
1) Millionaire next door. (lays out combination of personal finance and basics of investing)
2) Bogleheads Guide to Investing. (this book lays out the approach of index investing and why it makes sense, and talks about asset allocation).
3) Intelligent Asset Allocator. (This book is a sort of scientific review of how to optimize your portfolio. its very readable and gives confidence in setting your asset allocation, as much as is possible).
4) Pick a book about "how to beat the market". I don't know the best book, but I always suggest to find a book that makes a case for how you can beat wall street. I suggest it to get a different perspective. You can then decide for yourself what makes more sense - "trying to beat wall street at its own game" or "taking a passive low cost approach". From your first-hand experience, perhaps you don't need this book.