Why change thermostat?

Depends on what you mean. If you mean "What happens when I change the thermostat setting", then the answer is that the room (or house, or apartment) gets warmer or cooler. But if you mean "What happens when I change from a mechanical to an electronic thermostat" then the answer is that it is less sensitive to position and orientation, and it may also be programmable, operated from a remote control, or even operated over the internet.