The "Change Speed" effect changes both the tempo and the pitch (like playing a record or tape at a different speed). The sound quality is virtually unaffected by the change, though obviously a big change in speed will sound weird.
There are three associated effect in Audacity.
"Change Pitch" and "Change Tempo" perform a process called "time stretching" that allows:
Change Pitch: the pitch to be changed while keeping the tempo and track length (almost) the same,
Change Tempo: the tempo (speed) to be changed while keeping the pitch the same.
Time stretching is a lot more difficult for Audacity to do than the simple "Change Speed" effect, and there will be noticeable deterioration in the sound quality when the change is more than just a few percent.
The final effect is "Sliding Time Scale / Pitch Shift...".
This allows the pitch and/or tempo to be changed independently either by a fixed amount or a gradually changing amount. This effect is rather slow in processing time as it uses a high quality algorithm that produces better sound quality than "Change Pitch" and "Change Tempo".
These are all documented in the manual:
http://manual.audacityteam.org/man/Change_Speed
http://manual.audacityteam.org/man/Change_Tempo
http://manual.audacityteam.org/man/Change_Pitch
http://manual.audacityteam.org/man/Effe ... itch_Shift...
(for a list of all built-in effects, see here:
http://manual.audacityteam.org/man/Effect_Menu