'Hey why don't we try that ?'

POP by U2 springs to mind. Trying to mimic the experimental change of direction (fluke?) that was ACHTUNG BABY, Dublin's arguably-finest had their hearts seemingly in the right place prior to the recording of POP, but seemed to lose the plot in their race to be techno-savvy. Next thing you know, they were left with an unfinnished-sounding album and a top-heavy touring schedule rife with Pink Floyd-ian stage effects. Mistake!

Primal Scream have changed creative directions more times than they've had hot dinners, but usually seem to pull it off, no?

No. Primal Scream are rubbish.

I agree that U2's PopMart tour was incoherent-looking, but I'm not sure that the LP sounds 'unfinished', as you say.

I wonder: did Dylan change direction during the writing / conception / recording of the obviously schizophonic Bringing It All Back Home? I ought to know such things, but don't.

I think that a lot of projects which are relatively clear in people's heads to start with nonetheless end up very different from what the original notion suggested. It's an interesting process, and thus an interesting question.

Actually Primal Scream are ace, and pull that kinda thing of with ease (give or take the occasional miss). For other examples one should look at those albums that take forever to finish, maybe Second Coming (never heard the whole thing)? That Metallica one after the black album (same thing never bothered)? Prince maybe? Mmm, come to think of it Tricky's 'Pre-Millenium Tension' just sounds like that sort of record: first half banging out Maxinquaye style bliss after which Trickster got bored/angry/misunderstood and starts to fart around.

I believe the concept we are all nervously tiptoing round is "Terence Trent D'Arby". Every grim second of I [heart] the 80s was worth it for the return match, 15-odd years on, with this gentleman.

At the risk of being pelted with rocks, garbage and rancid fruit, I'd volunteer that Killing Joke have been guilty of it twice. First time around, BRIGHTER THAN A THOUSAND SUNS in 1986, they attempted to smoothe out their sound in an attempt to reach a broader audience (somewhat alienating their die-hard fanbase in the process). 1988's OUTSIDE THE GATE, however (essentially a Jaz Coleman solo project, after the rhythm section abandoned ship a quarter into the recording process) attempted to co-opt a whole new sound altogther; allowing dubious theories about numerology to inform time-signatures of songs in an ill-advised prog-rocky way. By far the most maligned (and largely justifiably-so) Killing Joke album...and a prime example of this particular conversation's topic.

Bands who regularly changed direction on almost every album:

The Boo Radleys Blur Aphex Twin Beastie Boys (?)

those are the only ones i can think of right now - there are many more... it's definitely important to do something different and keep it fresh.