I wonder what it is like to have a gender change. Some changes in some animals occur naturally. 
Wow, You mean gender change in animals can occur naturally, what animals are those?
If I recall correctly some worms do that. But most what comes to most people's minds is surgery for humans. 
Yes that is what comes to my mind.  Do you know how common is gender change in humans?
No I don't know that. But I do know it is used in procedures for intersex people. 
It seem like a lot of risk and trouble to change gender so I guess they must really want it very bad.
Intersex people have various variations in their chromosomes and gonads and do not fit the definition of typical male or female. 
In that case I guess they are midway already if they want to change gender or choose one or the other.
They also have legal recognition in many countries. 
So they are like a third gender?