It all depends on the site, they don't all have the same options for deposit and withdrawal. They also have different policies whereby some you can withdraw without depositing as long as you provide the verification documents, while others require you to have deposited at some point and during that process you would have provided the verification documents.
I know with stars, 888
, party poker
you can withdraw directly to your bank account. If you go and attempt to make a withdrawal it will tell you (generally) what the process is for that specific site your attempting to withdraw from.