We've handled it a number of different ways.
1) Remodel. The character gets a complete mechanical overhaul. Personality and appearance remain the same, but now the character is custom-built from scratch or tweaked mid-level. This happens a lot when the PC develops without a "levelling plan" and stumbles upon a cool concept, but due to feat, stat etc. requirements won't see it come to fruition until late in their adventuring career.
2) Retire. The PC sets up shop/builds a home/joins the army and disappears from play. Best done at the end of a story arc or planned adventure.
3) Reconsider. Talk with the DM, find out exactly what it is you don't like about the character and work out a solution that will make everyone happy. Sometimes a break is all that is needed; put the PC in a semi-retired state, start up a new PC, and if the player wants to play the old one again it's all ready to go.
3) I'm out of re's, so consider making a character tree. Borrowed from the Dark Sun game setting, the concept goes like this: the PC makes three characters, who all share XP. As one levels, the other two level in kind but are never played at the same time. If/when the PC dies, or gets tired of his character, or wants to try a new concept, he's got two other characters already worked into the story.