Usually, it's because you want to get a better price, add coverage at higher limits, or get a longer term for coverage.
However, the most important thing to remember is not to cancel any existing life insurance coverage until your new life insurance policy has been approved, delivered, and put "In Force".
Make sure you compare your current life insurance policy to the one you want to purchase by comparing price, guarantee periods, convertibility, and financial strength of the life insurance companies.
When beginning a new life insurance policy there is a new contestability period (two years) and the suicide period will start over - it usually lasts for the first two years of your policy, depending on the state in which you live - some states have a 1 year suicide exclusion.