Marriage, politics and in-house fighting are the main reasons.
For example, Queen Victoria was born in the House of Hanover and remained so throughout her life. She married Albert Saxe-Coburg-Gotha and the House became the House of Saxe Coburg until WWI when the German sounding name was dropped in favour of Windsor.
All the monarchs are related.
Another reason for change was politics. We had the House of Hanover only because of the Act of Settlement in 1701 which decreed the monarch must be Protestant. The nearest heir to fit the bill was George I, son of Sophia of Hanover who died before she could become Queen.
Further down in history in-house fighting caused the House to change.
An excellent explanation, with charts -
http://en.wikipedia.org/wiki/List_of_monarchs_ in_the_British_Isles .