Is it possible to change the type of a TFS work item? For example, I have a Bug I would like to change to a Change Request.
Not easily. You could try and hack the database, but that's really not a good idea. Just like dancing barefoot in a room full of broken glass whilst juggling live grenades isn't a good idea.
I'd suggest you create a new work item for the change request, link it to the bug and then set the bug state to obsolete/closed.