Why typing sudo cd whatever won't change the directory?
cd is a shell builtin.
sudo only works with executables. You could do
sudo sh -c 'cd dirname' but as soon as the shell exits, you're returned to the directory you started from. If you say what it is you're trying to accomplish then I can help you find a way to do that.
Instead try using
sudo -s to start a root shell and then simply
cd into the directory.
When you're done as root, press CtrlD or type
As Arjan hints at in his comment below, it is important to note that as root, one can easily do damage to essential system components. Use with care!
You can simply
su to become root and then
cd all you want... I know an answer has already been accepted, but if one is not on the sudoers list then this is the only option.