When do adjectives change to agree with the noun they modify in French?

In general, French adjectives must agree with the noun they modify, 

e.g. 'a white shirt' --> une chemise blanche, because 'chemise' is feminine, and the feminine form of 'blanc' is 'blanche'; 'blue socks' --> des chaussettes bleues, because 'chaussettes' are feminine and plural, and 'bleues' is the feminine plural form of 'bleu'. 

Watch out for adjectives which change in an irregular way. Typically, to make an adjective feminine, 'e' is added ('grand' (big) --> 'grande'), and to make it plural, 's' is added (so 'grand/grande' --> grands/grandes). However, extra letters and different endings occur in some cases, as with 'blanc' above, where the feminine form adds an 'h'. With many of these exceptions, you simply have to learn them. 

Exceptions tend to occur with relatively common adjectives, so the more French you speak, the more easily you will remember then - soon enough, they'll be second nature to you. Don't forget that 'fou' (mad) goes to 'folle' in the feminine.

One common exception occurs with adjectives ending in -eux ('honteux' - shameful) or -eur ('travailleur' - hard-working); these go to -euse (travailleuse, honteuse) in the feminine form, and -eux will stay the same (honteux) in its masculine plural.

There are also some adjectives that do not change to agree with nouns - these are called invariable adjectives. These tend to be adjectives which were originally nouns, and many of them are used as colours. A common example is the adjectives 'orange' (orange); as you can probably guess, 'orange' comes from '(une) orange', which was and still is the word for 'orange' in French. So, if your socks are orange, they will be 'chaussettes orange'. Other common examples include 'argent' (silver), 'cerise' (cherry-coloured) and 'marron' (brown). So, whenever you're using an adjective, particularly one which denotes colour, it's worth asking yourself: has this word always been used an adjective?

A fairly comprehensive list of these invariable adjectives can be found here: http://french.about.com/od/grammar/a/adjectives_inv.htm 

Finally, if you are using two adjectives of colour to describe the same noun, then neither agrees with the noun (e.g. 'the bluey-green skirt' will be 'la jupe bleu vert', rather than 'la jupe bleue verte').