One day, I'll convince my DM to allow me to make a Changeling without telling the other players. It should be incredible fun to try to keep the secret for as long as possible.
I'd consider giving that ago. I like situations where one of the players isn't what he seems. It would depend a lot on the player, though. This could be easily abused.
THere's the benign version (the PC is a changeling but the fact he/she is a changeling doesn't have any negative consequences for the other PCs) and the malevolent version (the changeling is going to get the party into serious difficulty at some point.
The malevolent version can be difficult but if handled well could make for a very memorable campaign. The difficulties I see relate mostly to giving the players a chance to recognize the peril and do something about it without under- of over-playing these hints. To my way of ref'ing, causing the players serious harm (dead PCs, serious loss of gear) without giving them some chance to do something about it is not good.
As a partical matter, on the malevolent path, the changeling player would have to understand that at some point his PC would go away or not be in his control. It would be killed, chased off, become a persistent NPC foe, whatever; assuming, of course, he doesn't get the entire party killed off or otherwise cause the campaign to end.
Another partical matter I might have executing this idea is meta-knowledge. Specifically, my players are pretty good about keeping what their characters know separate from what the players know. The problem this can cause is that the players may not act on something in-game if they feel some of the knowledge they gained was from out of game sources. This can be a very gray area when, for instance, the changeling player is roleplaying an encounter but makes an out of character reaction. Is it just bad roleplaying that should be interpreted ingame? Or unfair information to act on?
We often have PCs with secrets in their background that the players know and the other PCs shouldn't know so this happens frequently. One case in point, we have a tiefling PC with no obvious tiefling characteristics except for certain circumstances. Given the nature of how we create PCs, all the players know the character is a tiefling, the players have also been more forgiving than they probably need to in having it still be a mystery to their PCs. But this knowledge, while interesting, isn't probably going to turn into a life-or-death situation. That PC may yet betray them but not because she is a tiefling but because she acts untrustworthy and that aspect of her personality is well understood in-game and out-.
Interesting concept; I think I'll start a separate thread on it.