What happens during a display mode change?

The only thing that actually changes are the settings of the so called RAMDAC (a Digital Analog Converter directly attached to the video RAM), well today with digital connections it's more like a RAMTX (a DVI/HDMI/DisplayPort Transmitter attached to the video RAM). DOS graphics programmer veterans probably remember the fights between the RAMDAC, the specification and the woes of one's own code.

It actually doesn't take seconds until the signal returns. This is a rather quick process, but most display devices take their time to synchronize with the new signal parameters. Actually with well written drivers the change happens almost immediately, between vertical blanks. A few years ago, when the displays were, errr, stupider and analogue, after changing the video mode settings, one could see the picture going berserk for a short moment, until the display resynchronized (maybe I should take a video of this, while I still own equipment capable of this).

Since what actually is going on is just a change of RAMDAC settings there's also not neccesary data lost as long as the basic parameters stays the same: Number of Bits per Pixel, number of components per pixel and pixel stride. And in fact OpenGL contexts usually don't loose their data with an video mode change. Of course visible framebuffer layouts change, but that happens also when moving the window around.

DirectX Graphics is a bit of different story, though. There is device exclusive access and whenever switching between Direct3D fullscreen mode and regular desktop mode all graphics objects are swapped, so that's the reason for DirectX Graphics being so laggy when switching from/to a game to the Windows desktop.

If the pixel data format changes it usually requires a full reinitialization of the visible framebuffer, but today GPUs are exceptionally good in maping heterogenous pixel formats into a target framebuffer, so no delays neccesary there, too.