Nowadays, it's mostly the Insert Effects...

If you can either do away with them, or use the same one for all sounds, sounds morph quite nicely. But if one is say an amp simulator and another is a chorus, you always get a bit of a hiccup as you change.

Ian's system works pretty well, too, if your machine can do it.

On the whole, Roland has the best seamless Tone change, but even these can get a slight hiccup if the insert effects (MFX) aren't planned out carefully.