Changing imei Samsung SGH-E635

I was just wondering. I see lots of people that want to change their IMEI of their phones. What is this for? Is this to make sure that someone isn't keeping track of your calls?? Also, does it allow you to change service providers?

If so, how do you do it? Is it done with some flashing tool like Agere service tools? I have a Samsung SGH-E635

Also, is it possible that if you change your IMEI your phone will be banned from the network?

I really don't know anything about this type of stuff so any help is appreciated.