Pluses:
You retain all EXP primary and secondary skills of your class at the time of changing.
You gain all special skills of your new class.Minuses:
You lose all special skills of your old class.
To gain a level takes as much EXP as it would to go to the next level in your new class. (example: change from mage at level 10 to a fighter at level 10 you would need as much EXP as it would take to go from a fighter level 10 to a fighter level 11 in order to reach the next level)
Any skills that are not applicable to your new class are frozen and can't be increased in any way(example fighter to mage a fighter has sword skill of say 50 the mage would have that skill but be unable to increase it because he can't use a sword, this may or may not be true of magic skills from old class to new, most probable no new spells of the old class can be learned.)
Hybrid classes take 5 levels of increase in the new class before they can learn the new classes magic.