please have a look at this gif as I can't describe the problem any better:
It's Illustrator CS 5.0.2 and as you see in the picture I'm only changing the line width and the whole path is morphing. Is there any solution to avoid this behaviour which does't occur always but often.
For lack of a better idea, check if you have snap to pixel on, and turn it off if so. Maybe you're snapping the bounding box to pixel grid every time you change the line weight and this shift accumulates?