Before you change country make sure you have downloaded and backed up any purchases from your previous country's store. You will not be able to re-download them again once you change countries and it won't be easy to change countries to the previous one once you lose your payment method for the former country (as well as a wait period). As long as you have them on your computer you will be okay.
Change the country of your iTunes Store, App Store, iBooks Store, and Mac App Store account - http://support.apple.com/kb/ht6119 - "After you change the country of your account, you won't see the items you purchased from the previous country’s store in the Purchased section."
E.g., "The iTunes Service is available to you only in the United States, its territories, and possessions. You agree not to use or attempt to use the iTunes Service from outside these locations. Apple may use technologies to verify your compliance." - http://www.apple.com/legal/itunes/us/terms.html#SERVICE - reads the same for just about every country.