Going from your favorite unhealthy foods to healthier alternatives is a huge jump. Next time you are flipping through channels, try and find a makeover show. Many of these shows try and get people to completely change their eating habits in less than a week. While this may seem healthy, it probably won't lead to any long term changes. Put yourself in their shoes. What food do you eat that you know is unhealthy and really love? How would you feel if someone said you can't ever have that food again? I don't think I'd go for it.
An easier way to do it is gradually. Take a food you love and try to make it healthier. If you love pizza, instead of buying it ready, make it at home. There are easy to use crusts available at your grocery store. Add your own toppings. If you love fried chicken, try baked chicken. Don't go out, make it yourself. Home made meals are almost always healthier than ones you get at a restaurant (fast food or not).
Another popular way to get healthier are fat-free or low fat versions of food. Cream cheese, peanut butter and milk all have low fat or fat free substitutes. Sometimes companies do a good job with taste and sometimes they don't. In some cases it might not even be possible to get the same taste with all the fat taken out. This is why it is important to go down in steps. If your goal is to drink fat free milk but you're using whole milk, don't do it overnight. Take it in steps over the coarse of a few weeks. You won't notice the difference in taste as much. The same goes for other dairy products. Also, if you just can't stomach the fat free version, try the low fat version.
Most importantly, don't ever deprive yourself of something you love. Sometimes we over indulge in what we enjoy. Instead of eating a large number of cookies, look at the nutrition label. Eat a serving and put the pack down.