If you are well prepared, your first guess at a multiple choice answer is actually probably pretty good. So don't change it just because you're not sure its right.

If you have figured out the right answer after picking your answer, then it's the right time to change your answer.

Think about it this way, if you made an educated guess you've got about a 50 percent chance that your answer is correct the first time you choose. When you change the answer you've got a 50% chance that one of the other answers is right, so if you are picking randomly out of the other options that is a 13% chance of picking the right answer (50% divided by 4 remaining answers). You're better off keeping your first choice.

The probabilities sound weird? Check out the Monty Hall problem. I'd argue changing your answer is the Inverse of the Monty Hall Problem - AND ON AVERAGE YOU SHOULD NOT CHANGE.