The way I do it is to make all characters as one character... use different animation sequences and name them accordingly - then you can simply change the animation sequence to be a totally different character.
Otherwise, as mikewalton206 has said you can have multiple character objects and just destroy one and create another in it's place. It really depends how your game idea works though, since you might have some variables to duplicate or some other data that would be affected if you just destroy the object.
Changing weapons is the same thing... I make all weapons as a single object and use different animation sequences to display the different weapon. Everything exists as the same object - I use an instance variable to decide what the weapon choice is, and what animation sequence to use.