Common advice is to NOT make changes during construction because it can run up your costs and slow down construction.
Since I had spent years fine-tuning floor plans for our dream house, I felt certain that I would not be making any changes. I had even used computer software to put 3-D, scaled drawings of our furniture inside the floor plan to make sure everything would fit.
We added windows and skylights and made numerous smaller changes. On the other hand, we did not go completely nuts. We let some things go that we would like to have changed, but did not think that making the change would really be worth the cost (even if the cost was just to the builder and not us).
For example, after the roof was on, we realized that an interior room (the dining room) and hallways were too dark. We added small skylights (SolaTubes). The carpenter placed them such that they came out of the ceiling in places that were off-centered from the hallways, even though we had specified where we wanted them, which made us pretty unhappy.
Craft offered to fix it, but because the roof trusses and a/c ducts were somewhat in the way, it would have been complicated and reduced the light coming through. So we decided to leave it alone and hope that nobody but us would notice. (Homeowners are often acutely aware of supposed problems which visitors would think nothing of.) (Note in 2003: After a few years of living here, I wouldn't have thought about the location of the tubes if I hadn't read this page again.)
Other common advice is that your contract with the builder should say that changes to the plans can only be done with a written change order. We did not do this and didn't have any problems, but it is probably still a good rule to follow. For one thing, it can help you keep a handle on costs. For another thing, it should stop the builder from making changes to your specifications without telling you.