What happens if I re-delegate to another validator?

If you re-delegate to another validator, you are unbonding from the source (old) validator and bonding to the destination (new) validator. If the validator is in the Active or Unbonding state, then you need to wait for the unbonding period (21 days) before your delegation is delegated to the destination validator. If the validator is unbonded, your re-delegation will occur instantly.
Note that when you re-delegate, you continue to earn rewards throughout the unbonding period.