An excerpt from http://www.sitepoint.com/changing-wordpress-themes/, by James George
Sometimes when you’re running a WordPress site, you just want to freshen things up. Sometimes your site becomes stale and you get tired of looking at it. Other times, the design itself becomes outdated – so you decide it’s time to change your theme. This is nothing out of the ordinary, but can cause problems when you least expect it. In this article, I’ll cover some things you should do when changing WordPress themes.