There are key changes. It's quite common to switch between the relative majors and minors such as Crazy Train going from F# minor to A. I Alone by the rock band Live switches between G and E minor for the whole song. The interesting thing is that the bridge section is nothing but a B chord that is in 5th position coming out of the E minor chorus. I call that a floating or dependent section since it simply can't be done without the existence of another section. Well, maybe there's a way to accomplish it using melody that I'm not aware of. The song Invaders by Iron Maiden has some crazy key changing. The chorus is a shift of a semitone or a tritone. I can't remember, but it's a huge, huge shift to a key very distant from what they're leaving behind.