You can switch animal companions when you, in play, come across a suitable animal (i.e. don't count on getting animals that are not native to the lands your character is currently in.) Note that some animal companions won't be allowed into a lot of places, no matter how much you claim responsibility for it's actions. (Case in point, Dinosaurs...)
Animal companions get average hit dice every level (i.e. no dice rolling for them.)
If you raise an animal companion's Int to 3 or higher, it's no longer your animal companion... (Nor even an animal, technically. See http://www.d20pfsrd.com/bestiary/rules-for-monsters/creature-types#TOC-Animal) I.e. Animal companions never 'become just another party member', you will always have to control it using your actions. (Yes, this is a houserule, akin to the ones about 'max one summoning spell', 'max one combat pet'. Summoning and pet controlling classes take enough game time as it is.)
Shield bonus to AC does not translate to wildshape.
Wildshape, Beast Shape
Read and understand these:
You can only wildshape into animals where all the prerequisites below are fulfilled:
- You have interacted with an animal of that species (fought, talked with, eaten, been eaten by...) You probably want to keep a list of animals you have interacted with. In most campaigns you have probably interacted with most common animals worth less than 100gp on this list (possibly excepting the Yak.)
- You are thoroughly familiar with the animal. I.e. if you take 20 on Knowledge (Nature) you learn at least three things beyond it's base Monster Lore DC (usually 10+CR, but can be 15+CR). You learn one thing for every 5 beyond the DC. E.g. to wildshape into a chimpanzee you must get a result of no less than 10 + 1 + 15=26. To wildshape into a rarer animal such as an axe beak, 15 + 2 + 15 = 32.
- You have a printed out (or on a tablet), complete and correct character sheet with everything already calculated of your character in the desired animal's shape.
Natural spell does not work in Whirlwind form (or similar.)