How do you change character while in an online lobby?

[B.]

I know you can do it when selecting cards but I saw someone do it in the lobby before everyone was ready.

[Shade]

What do you mean, someone changed their character while in the lobby?
You can only change your character while in the deck-building screen. Once you've pressed "Ready" on that screen, your selection is final.
Other than that, the only way to change which character is displayed in the lobby prior to the game starting would be to pick a different avatar, but I don't know of any way to access the avatar selection screen outside of the main menu.

[Twichigo]

If somebody drops out during character/cards picking phase, the game will return everybody who remained to the lobby.
Perhaps you meant this occasion? Other than that I can't think of any way possible, as mentioned by Shade above.