There are different reasons you may be interested in replacing a wall thermostat. Maybe you're looking to save energy and money and are installing a digital thermostat. Or perhaps your old thermostat simply broke and you need to replace it. Replacing a wall thermostat is something you can do yourself.
Before you begin, turn off the power to the area you'll be working. Although a thermostat doesn't carry as deadly of a charge as other electrical projects, you don't want to be electrocuted while working. Once the power is off, take the cover off of your current wall thermostat. You'll see wires attached to screws. You need to take the wires off the screws, but it's a good idea to label them before you do so to make reinstalling a thermostat easier. You can use stickers or masking tape and a marker to do this. Then remove the wires from the screws.
Now it's time to remove the thermostat from the wall. Sometimes wires can slip back into the wall when you're doing this and you'd have to fish them out. To avoid this, hang onto the wires as you take the thermostat body off of the wall.
Work the wires into the new thermostat, using the labels you created to appropriately attach them. Check your new thermostat's manufacturer's instructions to make sure there aren't any variations you need to be aware of. Reattach the face of the thermostat and turn the power back on to make sure it works.
If you're replacing an old mechanical thermostat, make sure you properly dispose of the mercury switch. Like old mercury thermometers, mercury switches can be deadly if accidentally ingested. Check with your town to find out how to safely get rid of your mercury switch.