We did it too. Circumstances happened that made it impossible not to, for us anyway. The second venue has worked out to be a blessing in disguise, and while there was a little sadness about not going where we originally planned, we wouldn't change it now if we could.
Well we didn't officially sign, but we did change our venue after we thought it was going to be the perfect place. Literally down to the signing day and My parents wanted to put down the deposit but luckily I talked them out of it because FI and I were having second thoughts. It was way more than what we thought it would be and not worth the $$. I started the search over and found the absolute perfect place--that was way cheaper too, with more included! So glad I did not sign for the first venue.
Re: Venue Change...?!
We aren't sure what to do yet... Our venue is beautiful, but double what we originally wanted to spend. We're trying to be realistic about the cost.