Say the keywords that I'm targeting is "hershey's chocolate". If I had my site optimized with that keyword, will it affect my site if I choose to change the keywords I target?
What if I change it to "chocolate candy"? Will I lose the position I was at for "hershey's chocolate"? I'm trying to target a really competetive keyword and I don't know if it is a good idea.
Yes, of course it will affect your site. You change the keywords, the search engines react. If you give up a keyword, your serps will go down on it, though it will go up on another that you chose over the first.