Do 121.5 MHz ELTs have to be replaced with 406 MHz models?
I can't speak for the other countries, but at the moment (December 2013), at least in the United States, the answer is no.  

The FAA and the FCC have been engaged in a bit of a regulatory battle of wills on this subject, (most recently in March of 2013, and covered by AOPA, EAA, and AvWeb pretty extensively) - Basically the FCC wants us to take our 121.5MHz woop-woop boxes and make them go away, because they're pretty lousy for search-and-rescue, and the FAA is, for the moment, telling the FCC to get stuffed because regulating aircraft is the FAA's job.



Now just because you don't have to replace your ELT doesn't mean you shouldn't -- to be honest a 121.5MHz ELT is not much better than having no ELT at all (COSPAS-SARSAT doesn't monitor 121.5 anymore), so you should consider the type of flying you do, and the likelihood of an incident where the ELT might be useful.

The new 406MHz ELTs are vastly superior to 121.5MHz units for search-and-rescue performance, and if I were running a commercial operation, or flying regularly in an area were search-and-rescue help may be hard to come by if I had an emergency (like say Alaska) I'd fork over the cash for a GPS-enabled 406MHz ELT to replace the ancient 121.5MHz unit in my plane in a cold second.