chsh is generally what you want to use if you want to change your customary shell. It updates
/etc/passwd so that your newly-selected shell is started upon each future login.
export SHELL doesn't do anything on its own. The
SHELL variable is sometimes used by programs that want to spawn an external shell (say, to give you a command line in a certain directory, or with certain environment variables pre-set). If you want to run another shell temporarily, you would typically just run it directly like any other program. For example, if your normal shell is
/bin/bash but you want to test something under
/bin/tcsh, then just issue
/bin/tcsh on the bash command line.