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To start off, pull up the IPA for reference. The goal of this writeup is to provide a breakdown of some common types of sound changes. I have provided definitions along with examples illustrating each change (feel free to message me if you are familiar with any particularly interesting examples I could add).

Assimilation - a sound becomes more like a nearby sound.

/ɪn-/ intolerant impossible incomplete illogical irrelevant

Latin /k/ ➔ French /ʃ/ chat "cat", champ "field"
             French /s/ cèdre "cedar", citerne "tank"
             French /k/ cou "neck", clé "key" 

Dissimilation - sound becomes less like a nearby sound.

/-al/ musical technical annual but lunar stellar velar

Latina animaSpanish anmaalma "soul"

Metathesis - reordering of sounds.
OE thriddathird

Latin miraculum ➔ Spanish milagro

Epenthesis - adding a sound.
OE thimmelthimble

Latin schola   ➔ Spanish escuela "school"
      scribere ➔ Spanish escribir "write"
Deletion - dropping a sound.
Latin perdere ➔ French perdre "lose"
      vivere  ➔ French vivre "live"

OE [knɪçʈ] ➔ knight 
Lenition - refers to the change of a consonant considered strong into one considered weak.
Latin vita   ➔ Spanish vida 
      caput  ➔ Spanish cabo 
      caecus ➔ Spanish ciego 
Assibilation - a process whereby a plosive becomes an affricate in certain phonological environments.
For example, [t] alternates with [ts] before high front vowels in Quebecoise.
Further Discussion

What is the purpose of understanding the different ways sounds change in languages? Hmm... For one, knowledge of how sounds have changed over time aids linguists in the process of reconstructing assumed ancestral languages, or protolanguages, such as Proto-Indo-European. Linguists make two underlying assumptions in the reconstruction of proto-languages. First, similarities between words from different languages or dialects indicate that these languages or dialects are related to each other and must therefore have descended from a common ancestral language. Second, sound changes are regular under like circumstances. Related, is Grimm's Law of Lautverschiebung, which states that sets of consonants displace one another over time in predictable and regular fashion. One final point, in many cases, changes in the phonology of a language are cause or are the consequence of changes in morphology, wordnerd points out the example of the Great Vowel Shift.

Some other points of interest include:

  • "The Early History of Indo-European Languages," by Thomas V. Gamkrelidze and V. V. Ivanov; Scientific American, March 1990.
  • "The Indo-European Language," by Paul Thieme; Scientific American , October 1958.

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