While you are part of a village, you are affected in several ways:
Doing Diplomacy will earn you Village Respect. Respect is used primarily for joining new villages and earning special Tier items, such as Jutsu or Armors.
In order to join a village, you must have enough village respect to join it. For instance, if you wanted to move from Shroud to Konoki, you would have to do diplomacy in Konoki to earn enough respect to join. You must have ten times your base regen to join a village. You must also already have left your previous village.
You can leave your village in your Preferences section. You must be at least Chuunin to leave your village.
Joining a new village will reduce your regen temporarily:
When you join a new village, your regeneration rate will be cut in half for the first day. For the next three days, your regen will be lowered to 60%. On the fourth day, you will receive the full amount of regen that belongs to that village. This will affect ALL regeneration, including temporary boosts purchased through the Black Market.