Deceased husband 401K

My husband passed away recently, his employer had contacted me to tell me all the benefits he had and gave me the number to call about his 401K. When I called and got all the information he has a considerable amount in his 401K and they are asking me what I want to do with it. They gave me several options I can turn it into an IRA, transfer it to my 401K or withdraw it but there will be penalties/fees. What should I do? I’m so lost on this.