Your government changes depending on the reforms you pass. Assuming you start as an Absolute Monarchy, as you pass voting reforms, you'll go through the shift from Monarchy to Prussian Constitutionalism to HM's Government. You will never become a "Democracy", unless through revolution.
For other forms it depends on what you start as, but pretty much always requires revolution. For instance becoming a Monarchy from a Democracy. You'll need reactionary rebels to capture your capital twice to shift from Democracy to Dictatorship, then again to Monarchy. Obviously the Communist and Fascist dictatorships require no shifting. If the rebellion takes your capital (and holds it for a year) your government will change regardless of what it was previously.