If you already have a Will and need to make a change — say, to change your executor — you can execute an amendment known as a Codicil, which effectively becomes part of the original Will. A Codicil must be executed in the same manner as your Will, which generally means it must be signed in the presence of at least two witnesses.
If there is a significant change in your life — marriage, divorce, birth of a child, etc. — you should review your Will with an Estate Planning attorney and possibly execute a new Will. Many states have laws that invalidate or nullify part of your Will related to a former or new spouse unless you make your intentions to the contrary clear.
Most states recognize Wills that are validly executed in another state, but if you move to a new state, you should consult an Estate Planning lawyer to determine if a new Will is advisable.