Well, that's why it's good to have a main character.
Besides, look at it like this: If you'd have the ability to change characters without logging off, no one else would be able to log in. I know it sounds nice, but that would make a bunch of users mad. Including yourself, because then you wouldn't be able to go online either. So, from my point of view, I don't really think this would work. Lots of complicationz. Plus the lag, of course.
Hurr.