Email address change

Do you mean your Apple ID/login, or the @icloud.com address you created when you started the account? (they may be the same).

@icloud.com address

Once you have created an iCloud account and chosen an @icloud.com address to go with it you can't change the address (short of creating an entirely new account).

However, all is not lost. You can add up to three 'email aliases' - these are additional addresses (not accounts) which deliver into the same inbox as the main account. (In fact it's a good idea to give out alias addresses, rather than the main address, because if they attract spam you can easily change them.)

You should be aware before you start that once you've created an alias you cannot turn that address into a full iCloud account or move it to another account.

More information on aliases here: https://help.apple.com/icloud/#mm6b1a490a

Apple ID/login

If your primary address (the ID) is an @icloud.com, @me.com or @mac.com address you cannot change it. If it is a non-Apple address you can change it as follows:

1. Firstly, sign out of iCloud on all your devices: go to each of your devices and sign out in System Preferences (or Settings)>iCloud - 'Sign out' on a Mac, 'Delete this account' on an iOS device (this will not delete the account from the server). If you have 'Find My iPhone' etc enabled you will need to disable it first. Your synced data will disappear from your devices but will reappear when you sign back in.
2. Create a new email address, for example  at Yahoo or Gmail, or anywhere convenient (or you can use an existing address as long as it is not associated with an Apple ID). You can change it to another Apple address only if it's listed when you click the link to change (in practice this means your main @icloud.com address, and the equivalent @me.com and @mac.com versions if you have them: it does not include email aliases).
3. Go to http://appleid.apple.com and click 'Manage your Apple ID'. Sign in with the current ID.
4. Where it says 'Apple ID' and gives your current ID email address, click 'Change your Apple ID'.
5. Enter your new address and click 'Save changes'
6. Sign back into iCloud on all your devices with the new ID and password. Your synced data will reappear (give it time).

I reiterate - before you start, sign out of iCloud on all your devices. Failure to do this will lead you into difficulties.