General rule of thumb as a pilot would be that you tune into approach, listen, then request an ILS approach, Visual approach, Radar Vectors or Flight Following.
You can of course ask for another approach in to the airport but remember that this could both cause a strain on the controller and require the controller to make a corrections.
For example if you were to change from a visual approach to an ILS approach, that is huge shift in planning and thinking. You may need to be need to receive delay vectors, speed control or, in extreme cases, a missed approach which may feel like a penalty. But all the available approaches require different things in order for the approach to be executed correctly.
So you can but it’s not recommended, we will try to accommodate the request. Plan out your approach the best you can so you don’t need to.