I would prefer to start with a simpler version of what dx said. Forget about manifolds for a moment and let V be an arbitrary finite-dimensional vector space over the real numbers. Now define V* as the set of all linear functions from V into \mathbb R. Then define the sum of two members of V*, and the product of a member of \mathbb R and a member of V* by
(f+g)(v)=f(v)+g(v)
(kf)(v)=k(f(v))
These definitions give V* the structure of a vector space. It's called the dual space of V. Since V* is a vector space, the members of V* are vectors. However, when V is the tangent space of a manifold, the members of V are called "tangent vectors" and the members of V* are called "cotangent vectors". This is often shortened to the misleading "vectors" and "covectors", or worse (much worse actually) "covariant vectors" and "contravariant vectors".
From now on, I'll put an arrow on top of the members of V, and a tilde on top of members of V*, so that it will be perfectly clear what each symbol represents. I won't write out any summation symbols, because it's easy to remember that we must sum over every index that appears twice (once upstairs and once downstairs) from 0 to 3. (Assuming that we're talking about relativity. In a more general setting, the sum would be from 1 to dim V).
Now consider two bases of V, \{e_\alpha\} and \{\vec e_\alpha{}'\}.
v=v^\alpha \vec e_\alpha=v'^\alpha\vec e_\alpha{}'
A member of a basis can of course be expressed as a linear combination of members of another basis:
\vec e_\alpha{}'=M^\beta{}_\alpha \vec e_\beta
So we have
v^\alpha \vec e_\alpha=v'^\alpha\vec e_\alpha{}'=v'^\alpha M^\beta{}_\alpha \vec e_\beta=v'^\beta M^\alpha{}_\beta \vec e_\alpha
All I did in the last step was to change the labels of the summation indices, which is obviously OK. Since a basis by definition is a linearly independent set, the above implies that
v^\alpha=M^\alpha{}_\beta v'^\beta
This is clearly a matrix equation in component form. I'll write the matrix equation as
[v]=M[v]'
Here [v] is the 4x1 matrix that consists of the components of v in the unprimed basis, [v]' is the 4x1 matrix that consists of the components of v in the primed basis and M is the 4x4 matrix that has M^\alpha{}_\beta on row alpha, column beta. We can solve for [v]':
[v]'=M^{-1}[v]=\Lambda [v]
where \Lambda=M^{-1}. We can of course express this in component form too:
v'^\alpha=\Lambda^\alpha{}_\beta v^\beta
What this equation tells you is how the components of a vector in a particular basis changes when you switch to another basis.
There's a natural way to associate a basis of V* with each basis of V. We define \tilde e^\alpha by
\tilde e^\alpha(\vec e_\beta)=\delta^\alpha_\beta
\{\tilde e^\alpha\} is said to be the dual basis of \{\vec e_\alpha\}. We can of course write an arbitrary member of V* as
\omega=\omega_\alpha \tilde e^\alpha = \omega'_\alpha \tilde e^\alpha{}'
We would like to find the relationship between the components of \omega in the primed basis and its components in the unprimed basis, just as we did for v. This isn't difficult to do.
\tilde\omega(\vec e_\alpha)<br />
= \omega_\beta\tilde e^\beta(\vec e_\alpha)<br />
= \omega_\beta\delta^\beta_\alpha<br />
= \omega_\alpha
\omega_\alpha{}'<br />
=\tilde\omega(\vec e_\alpha{}')<br />
=\tilde\omega((\Lambda^{-1})^\beta{}_\alpha\vec e_\beta)<br />
=(\Lambda^{-1})^\beta{}_\alpha\omega(\vec e_\beta)<br />
=(\Lambda^{-1})^\beta{}_\alpha\omega_\beta
If we're talking about special relativity, we can write \Lambda_\alpha{}^\beta instead of (\Lambda^{-1})^\beta{}_\alpha. This follows from \Lambda^T\eta\Lambda=\eta and the convention to use the metric to raise and lower indices. (Note that the formula, which can be taken as the definition of a Lorentz transformation, implies that \Lambda^{-1}=\eta\Lambda^T\eta).
So what does any of this have to do with coordinate systems? There's a natural way to associate a basis of the tangent space at a point p of a manifold with each coordinate system, so a change of coordinates can also be thought of as a change of basis for all of the tangent spaces at the points where both coordinate systems are defined. See my posts in
this thread.