I usually change it once a year on the transmission, once every two years on the rear diff. I drive about 15k a year.
That all depends on how hard you drive your car. Look in your manual. If you drive hard, every 15k. If you drive fairly normal, 30k. That goes for tranny and diffs. Besides, it's so cheap for gear oil why wouldn't you do it more often? A tranny and a rear end cost a lot more to replace due to neglect than $75/year in gear oil.