There may be many reasons when a website owner decides to change domain name and move from one to the other. If you have been using a domain for a long time and you have previous SEO work done, there is a way to safely do it so the SEO work is not lost. After you copy all the website contents from the old server to the new one use a simple .htacess 301 redirect. No you don't have to redirect every url, a root redirect will do - just place the following code in your .htacess file.
Redirect 301 / http://www.newdomain.com/
All sub pages will be safely redirected to the new one. Pagerank will eventually be passed although this can take a long time.
I don't recommend ever changing your domain name unless its absolutely neccessary.