Out of Their Wheelhouse Genius

The Beatles Revolver. Actually, their reinvention started with the 45 RPM single that preceded that album: "Paperback Writer"/"Rain". A group changing their sound that much (from the Rubber Soul album) was at that time considered very risky, the possibility of losing one's fan base a very real risk.

Perhaps the most fearless, brave artist of them all is Bob Dylan. Going electric alienated a lot of his older, Folk purist fans. He didn't care. Going "Christian" was another brave move, alienating even John Lennon, whose songwriting was hugely impacted by Dylan. Finding religion was a step too far for him (from Lennon's "Imagine" song: ....."imagine no religion".).

@three_easy_payments, great points! But, I still think it's a fun exercise to call out some of those first dips of the toe into freezing water. 
@bdp24 Yeah man, Dylan going electric is a wonderful example that had tremendous impact. Cheers,
Spencer

Ministry - "Twitch"; going from synth-pop to industrial metal.... And then there is King Gizzard and the Lizard Wizard, who re-invent their sound with pretty much every album, and often within songs on the same album. And they do it all really well.... 

Perhaps the best at spending an entire career reinventing himself was David Bowie.

R.E.M's "Fables of the Reconstruction" was quite a departure from the dreamy jangle pop of 'Murmur' and 'Reckoning,' but it did grew on me. Then they reinvented their sound several more times after that, for better or worse.