Think carefully if you are changing domain names at an established site solely for the purpose of change. Google will see your new domain as a brand-new site, even if you have kept all the file names the same. That means all your old incoming links will point to the old domain. I recommend keeping your old domain name unless you have a real compelling reason to change it.
For example, my domain www.example.com originally offered web design and not much else. I now offer search engine optimization (SEO) and pay-per-click account management but am loathe to change the domain name because of my incoming links.
If you must change domain names, the way to do it properly is to keep your old domain active and insert a "Permanent 301 Redirect" script on that server to instruct browsers and search engines that the old domain and site have been replaced by the new domain and site. This will also transfer PageRank from your old domain to your new domain.
There is a excellent webmaster help for this, you can read that here: http://www.google.com/support/webmasters/bin/answer.py?answer=83105&hl=en
Make sure that your new domain is authenticated in Google Webmaster Tool.