What does switching back of amp from 8 to 4 ohms do?

If you have 8 Ohm speakers, set it to 8 Ohms. If you have 4 Ohm speakers set it to 4 Ohms.

If your speaker Ohm rating isn't on their back look their specs up online.

Speakers normally never will have stable impedance, but the rule is far simpler. If speaker impedance chart does not go below 8 ohms, then use 8-ohm binding posts. Otherwise use 4-ohm binding posts. 

If you change switch for 8-ohm speakers the following will happen:

If your speakers are 8- ohm you may lose a-bit of the volume, but you'll gain dynamic headroom and clarity. If your speakers are below 8-ohms, you may lose a lot of low-frequency resolution and larger loss of volume.

Czarivey, Great answer but the very last sentence confused me.

I was told changing to four ohms, since my speakers explore below eight ohms, is helpful when the lower range is used by the speakers. Not sure how the speaker is wired within the speaker to accommodate four and eight ohm settings. I guess it's a design way for channeling more power to the lower end of frequency range which Impacts sound level. Using McIntosh amplifier with transformer.

Inside speaker is inductive coil that expands and contracts when voltage is applied to move the driver. The DC resistance of voice coil is extremely low almost to the point of short circuit. Therefore lower frequencies require a lot larger power.

Thank you again
Fascinating response, with the DC resistance of the voice coil being low I would expect lower power needed.  Why is more power needed?