I change all the time. Like, in Morrowind, my first character was your average battlemage, specialising in Light Armour, Destruction and Longswords. This was my first playthrough, I finihsed the main quest with that guy.
Two years later, I reinstalled Morrowind and made another battlemage. It was SO FUCKING BORING. I got to level 30 or so then just gave up because there was nothing special happening.
I made a third character just after I got Tribunal and Bloodmoon, he was a Nord specialising in Heavy Armour and Blunt Weapon, and by level 5 I could already kill those fucking annoying goblins in the Mournhold sewers. I downloaded Tamriel Rebuilt by about level 8, then I had a quick look around with my Nord, and decided to start a new character that was completely different to play almost entirely on the mainland.
I made a Breton specialising in Unarmoared, Athletics, Short Blade and Restoration. Basically the most underpowered Cleric ever, yet it's somehow a hell of a lot more fun than my last 3 characters. I'm level 9 at the moment, and I can't imagine making a new character anytime soon.
Variety is the spice of life, it would seem.