How to listen for preference changes within a PreferenceFragment?

All the other answers are correct. But I like this alternative better because you immediately have the Preference instance that caused the change.

@Override
public void onCreate(Bundle savedInstanceState) {
    super.onCreate(savedInstanceState);
    Preference pref = findPreference(getString(R.string.key_of_pref));        
    pref.setOnPreferenceChangeListener(new Preference.OnPreferenceChangeListener() {
        @Override
        public boolean onPreferenceChange(Preference preference, Object newValue) {
            // do whatever you want with new value

            // true to update the state of the Preference with the new value
            // in case you want to disallow the change return false
            return true;
        }
    });
}

The solution of antew works well, here you can see a full preference activity for Android v11 onwards:

import android.app.Activity;
import android.content.SharedPreferences;
import android.content.SharedPreferences.OnSharedPreferenceChangeListener;
import android.os.Bundle;
import android.preference.ListPreference;
import android.preference.PreferenceFragment;

public class UserPreferencesV11 extends Activity  {

@Override
protected void onCreate(Bundle savedInstanceState) {
    super.onCreate(savedInstanceState);

    // Display the fragment as the main content.
    getFragmentManager().beginTransaction().replace(android.R.id.content,
            new PrefsFragment()).commit();
}

public static class PrefsFragment extends PreferenceFragment implements OnSharedPreferenceChangeListener {

    @Override
    public void onCreate(Bundle savedInstanceState) {
        super.onCreate(savedInstanceState);

        // Load the preferences from an XML resource
        addPreferencesFromResource(R.xml.preferences);

        // set texts correctly
        onSharedPreferenceChanged(null, "");

    }

    @Override
    public void onResume() {
        super.onResume();
        // Set up a listener whenever a key changes
        getPreferenceScreen().getSharedPreferences().registerOnSharedPreferenceChangeListener(this);
    }

    @Override
    public void onPause() {
        super.onPause();
        // Set up a listener whenever a key changes
        getPreferenceScreen().getSharedPreferences().unregisterOnSharedPreferenceChangeListener(this);
    }

    @Override
    public void onSharedPreferenceChanged(SharedPreferences sharedPreferences, String key) {
        // just update all
        ListPreference lp = (ListPreference) findPreference(PREF_YOUR_KEY);
        lp.setSummary("dummy"); // required or will not update
        lp.setSummary(getString(R.string.pref_yourKey) + ": %s");

    }
}
}

I believe you just need to register/unregister the Listener in your PreferenceFragment and it will work.

@Override
public void onResume() {
    super.onResume();
    getPreferenceManager().getSharedPreferences().registerOnSharedPreferenceChangeListener(this);

}

@Override
public void onPause() {
    getPreferenceManager().getSharedPreferences().unregisterOnSharedPreferenceChangeListener(this);
    super.onPause();
}

Depending on what you want to do you may not need to use a listener. Changes to the preferences are committed to SharedPreferences automatically.