I think you will find that many people do change their pickups to something else to get a tone they want in their head from their guitars.
To do this, you should first realize what woods are your guitar, pickup configuration and cavity (obviously) and music you play/tone you want to get. Another point to consider are your setup or current equipment you play through.
Pickups are voiced in many ways. A PAF Joe is slighty different from a PAF Pro or a Humbucker from Hell. And a EMG81 is different from a Dimebucker. This is coming from a sonic point of view.
How they react to a guitar and amp is another thing. Sure a EMG81 would be chugga chuggarific, but through a plywood Samick into a Johnson amp distortion with a Boss Blues Driver driving it would not really give you great sounds as to your metal heroes.
And if you play jazz or country, you ain't wanting to choose to drop a Evolution instead of a P90 from Lollar. You CAN, and you can sound great with great hands, but you usually wouldn't want to do that.
It's the sound your looking for in your head, coupled with your gear. So I suggest you look at what you have and what sound you want. Then branch out and learn what options do you have to achieve them.
So good in one ear may not be good to the other.