Explain $\iint \mathrm dx\,\mathrm dy = \iint r \,\mathrm \,d\alpha\,\mathrm dr$ It is changing the coordinate from one coordinate to another. There is an angle and radius on the right side. What is it? And why?
I got:
$2\,\mathrm dy\,\mathrm dx = r(\cos^2\alpha-\sin^2\alpha)\,\mathrm d\alpha \,\mathrm dr$,
where $x = r \cos(\alpha)$ and $y = r \sin(\alpha)$.
but cannot understand and get the right side. The problem emerged when trying to integrate $\displaystyle \int_0^\infty e^{\frac{-x^2}{n^2}}\,\mathrm dx$ where I tried to change the problem knowing $r^2=x^2+y^2$ but stuck to this part. What is the change in the title called and why is it so?
 A: Generally speaking, a double integral always has an area differential, so that you're integrating $\iint dA$.  Another way to view the question, then, is why $dA = dx dy$ in Cartesian coordinates and $dA = r dr d\theta$ in polar coordinates.  
An area element in Cartesian is a rectangle, as Qiaochu describes in his answer.  The area of the rectangle is the small change in $x$ times the small change in $y$, or $\Delta x \Delta y$.
An area element in polar, however, is a piece of a circle sector.  There's a nice picture below taken from here.  (The area element is the shaded part.)  

If the angle is measured in radians, we know that the area of a sector of angle $\theta$ of a circle of radius $r$ is $\frac{1}{2}r^2 \theta$.  So the area of the shaded piece in the picture is $$\Delta A = \frac{1}{2}(r + \Delta r)^2 \Delta \theta - \frac{1}{2}r^2 \Delta \theta = r \, \Delta r \, \Delta \theta + \frac{1}{2}(\Delta r)^2 \, \Delta \theta.$$  The quadratic factor of $\Delta r$ makes the second term negligible compared to the first term for small enough $\Delta r$ and $\Delta \theta$.  Thus in the limit we get $dA = r \, dr \, d\theta$.
As others have said, you can also use the multivariate change of variables formula involving the Jacobian of the transformation directly.  I like the geometric argument when first introducing the polar element in a calculus course, though.
A: It's a special case of the multivariate change of variables formula. Intuitively you can think of it as follows: starting from a point $(x, y)$, you make an infinitesimal change in $x$ and then an infinitesimal change in $y$ to get to $(x + \delta x, y + \delta y)$. Those changes trace out a little square whose area is $\delta x \delta y$, and you're summing over a bunch of these little squares.
So what happens when you do the same thing in polar coordinates? Starting from $(r, \theta)$ you move to $(r + \delta r, \theta + \delta \theta)$. Now moving $\delta r$ is just like moving $\delta x$ in an appropriately rotated set of axes. But when you move $\delta \theta$, the actual distance you move by is multiplied by $r$ (draw a diagram to see this), and it's in a direction orthogonal to the direction you move when changing $r$. You're actually moving by $r \, \delta \theta$. The result is not quite a square, but for small enough values of $\delta r, \delta \theta$ it approaches a square with side lengths $\delta r$ and $r \, \delta \theta$.
A: Let us approach this problem like some physicists would, that is, let us consider the differential $\mathrm{d}$ as an operator which obeys the rules of derivation, only with a sign. 
In the present case, $x=r\cos\alpha$ and $y=r\sin\alpha$ hence
$$
\mathrm{d}x=\cos\alpha\mathrm{d}r-r\sin\alpha\mathrm{d}\alpha,
\quad
\mathrm{d}y=\sin\alpha\mathrm{d}r+r\cos\alpha\mathrm{d}\alpha.
$$
Now, there are some magic rules which allow to multiply $\mathrm{d}r$ and $\mathrm{d}\alpha$ elements. These are
$$
\mathrm{d}r\mathrm{d}r=0,\quad
\mathrm{d}\alpha\mathrm{d}r=-\mathrm{d}r\mathrm{d}\alpha,\quad
\mathrm{d}\alpha\mathrm{d}\alpha=0.
$$
Hence,
$$
\mathrm{d}x\mathrm{d}y=(\cos\alpha\mathrm{d}r-r\sin\alpha\mathrm{d}\alpha)(\sin\alpha\mathrm{d}r+r\cos\alpha\mathrm{d}\alpha).
$$
The $\mathrm{d}r\mathrm{d}r$ and $\mathrm{d}\alpha\mathrm{d}\alpha$ terms disappear and the terms which interest us are the $\mathrm{d}r\mathrm{d}\alpha$ and $\mathrm{d}\alpha\mathrm{d}r$ ones. One gets
$$
\mathrm{d}x\mathrm{d}y=(\cos\alpha\cdot r\cos\alpha-r\sin\alpha\cdot (-1)\sin\alpha)\mathrm{d}r\mathrm{d}\alpha,
$$
that is,
$$
\color{green}{\mathrm{d}x\mathrm{d}y=r\mathrm{d}r\mathrm{d}\alpha},
$$
a formula which yields
$$
\color{red}{\iint f(x,y)\mathrm{d}x\mathrm{d}y=\iint f(r\cos\alpha,r\sin\alpha)r\mathrm{d}r\mathrm{d}\alpha}.
$$
One can also transform integrals the other way round, all there is to do is to compute a formula for $\mathrm{d}r\mathrm{d}\alpha$ as a multiple of $\mathrm{d}x\mathrm{d}y$. Our formula for $\mathrm{d}x\mathrm{d}y$ in terms of $\mathrm{d}r\mathrm{d}\alpha$ yields
$$
\mathrm{d}r\mathrm{d}\alpha=\frac1r\mathrm{d}x\mathrm{d}y=\frac1{\sqrt{x^2+y^2}}\mathrm{d}x\mathrm{d}y,
$$
hence
$$
\color{blue}{\iint f(r,\alpha)\mathrm{d}r\mathrm{d}\alpha=\iint f(x,y)\frac1{\sqrt{x^2+y^2}}\mathrm{d}x\mathrm{d}y}.
$$
Once again, this only describes the computational side of the story, but this recipe is supported by a well established theory of differential forms which we omitted.
A: UPDATE: The series have been replaced by limits of sums.
Geometric interpretation. By definition of a double integral of a continuous
function over a bounded closed region $R$ of the $xy$-plane, we have
$$\iint_R f(x,y)\;\mathrm{d}x\;\mathrm{d}y=\lim_{n\to\infty}\; \sum_{i=1}^{n }f(x_{i},y_{i})\Delta A_{i},$$
where $\Delta A_{i}$ is the area of a generic rectangular cell and $n$ the number of cells.
If $f(x,y)=1$, we get the area of $R$ 
$$ \iint_R \mathrm{d}x\;\mathrm{d}y=\lim_{n\to\infty}\; \sum_{i=1}^{n }\Delta A_{i}.$$
If we decompose $R$ into cells with a shape of sectors of a circle defined
by two radii whose difference is $\Delta r_{i}$ for the generic $i^{th}$
cell and two rays making an angle $\Delta \theta _{i}$ with each other, the
area of the  cell, using the formula of a circle sector, is 
$$\frac{1}{2}\left[ \left( r_{i}+\frac{1}{2}\Delta r_{i}\right) ^{2}-\left(
r_{i}-\frac{1}{2}\Delta r_{i}\right) ^{2}\right] \Delta \theta
_{i}=r_{i}\Delta r_{i}\Delta \theta _{i}\text{,}$$
where $r_{i}$ is the radius of the middle point of the cell. The same area $R
$ can be expressed as the limit $\lim_{n\to\infty}\;\sum_{i=1}^{n }r_{i}\Delta
r_{i}\Delta \theta _{i}$, which by definition of a double integral is equal
to $$\iint_R r\;\mathrm{d}r\;\mathrm{d}\theta. $$

Figure: Generic $i^{th}$-cell in polar co-ordinates with the shape of a circle sector
This transformation is defined rigorously by the absolute value of the Jacobian of the transformation $\left\vert 
\frac{\partial (x,y)}{\partial (r,\theta )}\right\vert =r$ from the
Cartesian to the polar system of co-ordinates ($x=r\cos \theta ,y=r\sin
\theta $):
$$\iint_R \mathrm{d}x\;\mathrm{d}y=\iint_R \left\vert \frac{\partial (x,y)}{\partial (r,\theta
)}\right\vert \;\mathrm{d}r\;\mathrm{d}\theta = \iint_R r\;\mathrm{d}r\;\mathrm{d}\theta.$$

Added: Evaluation of the Jacobian determinant: 
$$\begin{eqnarray*}
\frac{\partial \left( x,y\right) }{\partial \left( r,\theta \right) }
&=&\det 
\begin{pmatrix}
\partial x/\partial r & \partial x/\partial \theta  \\ 
\partial y/\partial r & \partial y/\partial \theta 
\end{pmatrix}
\\
&=&\det 
\begin{pmatrix}
\cos \theta  & -r\sin \theta  \\ 
\sin \theta  & r\cos \theta 
\end{pmatrix}
\\
&=&r\cos ^{2}\theta +r\sin ^{2}\theta  \\
&=&r.
\end{eqnarray*}$$
