What's the accepted wisdom on moving registrars and SE issues? Can it have a negative effect?

I am thinking of transferring a domain name from one registrar to another (nameservers will stay the same).

Any comments?

Also interested in related issues such as;

1. moving web site to a new host / IP address. Good idea? Bad idea?

2. Changing nameservers?

3. Changing domain ownership details - contact details and so on.

4. Using 'privacy' features of some registrars to mask Whois details?

Thanks for any comments.