I would like to see alliance change... If Done RIGHT!
And by that I mean, it ought to be more then just a... "poof, you are somehow magically member of a new alliance" token!

I mean, it ought to be an epic storyline, some DLC (see ZOS, you -can- make profit from this idea!) with an "cloak and dagger" (Well, maybe "hood and dagger" for ESO) theme, and a "faction loyalty called in question" storyline, where at some point in the story you get to make a -big- choice for your character - stay loyal and find out who framed you, or defect to a different alliance!
With the rest of the DLC going different ways depending on what you choose - either you hunt after the true culprit, dodge agents sent to bring you in for treason, find the evidence you need to restore your good name and emerge victorious... or... you dodge the agents sent to bring you in for treason while making contact with one of the other alliances, preparing your escape and grabbing some juicy secrets on your way out...
Such a story could take a character all over their original alliance, and other places as well, possibly centering on some neutral city-state or something where spies from all factions meet to spy hard (think like cold war era vienna...); reusing old maps from bygone questings with new mobs, and giving out nifty titles depending on your characters fate... like "[original faction] Loyalist" or "[original faction] Defector"...

It would even be an opportunity to introduce new "post-graduate" alliance options, like being able to join new factions that are not available as questline... become a "mercenary" that is neutral to any alliance in cyrodil (yellow, non-hostile but attackable) but invited by none (cannot use any faction doors, spawns in a off the way but undefended location), or an faction hostile to all three (imperial remnant, perhaps? With all the imperial NPCs going non-hostile while spawning at a random imperial NPC camp?)

Naturally it would make very much sense to make completion of cadwells a prerequesite for this, to avoid any mainstory entanglements brought on by an alliance change... (not like characters who have not yet done a lot of questing need this, since those can just be delered and rerolled in another faction anyhow) Although I suppose it would not be that big of an issue ever since one tamriel...

And there could be more! Whenever the topic comes up some people worry about PvP impact, in an "Oh, everyone will want to join the winning side" kind of way... (not that people do something like that anyhow by picking their campaigns... tho since it has not -that- much impact there, well...) but that could be balanced by making defection have consequences in the alliance war. Like...
...maybe earning only half AP for six months as your new allies only slowly start to trust the "defector"
...or perhaps even earning no new AP until you re-earned your old PvP rank?
...and there definitely ought to be increased rewards for people from your original faction if they take you down on the battlefield, because...