DECLARE @log AS TABLE
    ( Id INT            -- Id of Log Entry
    , EntityId INT      -- Id of Changed Entity
    , Tracked INT       -- Log for changed value
    , ValidFrom DATETIME2
    , ValidTo DATETIME2
    )

INSERT INTO @log
VALUES
    (1,1, 1, '2012-01-01', '2012-03-03'),
    (2,1, 1, '2012-03-03', '2013-01-01'),
    (3,1, 2, '2013-01-01', '2014-01-01'),
    (4,1, 1, '2014-01-01', '2015-01-01')

SELECT *
FROM
    ( SELECT
        Id,
        EntityId,
        Tracked,
        LAG(Tracked) OVER (PARTITION BY EntityId ORDER BY ValidFrom) as PrevTracked
    FROM @log
    ) as l
WHERE l.Tracked != l.PrevTracked