When I moved, I had very good luck with using Return Path for a change of email address (
FreshAddress.com - the free change of email address directory - FAQ). Of course, I forwarded my mail to my new address with the post office also.
For everything else, I went through every site that I had a profile with and changed my address and telephone information. For those sponsors who use your profile information for mailings, it works very well.
Unfortunately, for those sponsors who go by the entry form information only, then you're out of luck for Fedex, UPS, and DHL if the information on the picked entry is your old address. On daily's, make sure you use your new address as soon as you know it.