Although someone will probably correct me on this, I believe on most shotguns you can change the barrels. On something like a side by side there would be very little point to change the barrels. However on pumps it can be very practical.
Not all shotguns have removable chokes. I have a Winchester Model 12, Mossberg 500, Remington 812, Stevens 311, and Remington 870. Only the Remington 870 has the removable choke. I learned to shoot on a full choke and I can pretty much do whatever I want with it.