I have recently changed my email address on Stack Overflow.
It changed as expected, but after the change I'm still receiving Stack Overflow e-mail at my old address rather than the new one.
Is there something else I need to do?
If you're talking about emails for inbox notifications, you need to edit them by clicking the "preferences" button at the top your profile page:
If you're talking about emails for filter subscriptions, you need to go to the filter on StackExchange.com and modify your associated email address there.