According to Judaism 101, they can choose from a huge variety of opinions on the afterlife. One of my Orthodox Jewish friend believes in this:
"When a person dies basically a couple of things happen. We believe that each person's soul before coming into the world sees the life it will lead and agrees to come into the world with certain things it will try to do (which it then forgets). If it did what it meant to do, it waits for the next world which will keep the good things of this world and build on them. If the soul did not complete its task, then it can try again as another person if it wants.Souls that did just horrible things (evil people with no redeeming aspects to their lives, which are rare) are just re-absorbed into G-d so that they no long have the illusion of a separate existence. The rest basically re-enter the world when the next world comes-- which will be a physical world like this one but somehow different."
It is apparently not uncommon among the orthodox Jews. If you want stories, I found this interesting site on Jewish reincarnation stories.