The simplest way is to save the original value using data() when the element gets focus. Here is a really basic example:

JSFiddle: http://jsfiddle.net/TrueBlueAussie/e4ovx435/

$('input').on('focusin', function(){
    console.log("Saving value " + $(this).val());
    $(this).data('val', $(this).val());
});

$('input').on('change', function(){
    var prev = $(this).data('val');
    var current = $(this).val();
    console.log("Prev value " + prev);
    console.log("New value " + current);
});

Better to use Delegated Event Handlers

Note: it is generally more efficient to use a delegated event handler when there can be multiple matching elements. This way only a single handler is added (smaller overhead and faster initialisation) and any speed difference at event time is negligible.

Here is the same example using delegated events connected to document:

$(document).on('focusin', 'input', function(){
    console.log("Saving value " + $(this).val());
    $(this).data('val', $(this).val());
}).on('change','input', function(){
    var prev = $(this).data('val');
    var current = $(this).val();
    console.log("Prev value " + prev);
    console.log("New value " + current);
});

JsFiddle: http://jsfiddle.net/TrueBlueAussie/e4ovx435/65/

Delegated events work by listening for an event (focusin, change etc) on an ancestor element (document* in this case), then applying the jQuery filter (input) to only the elements in the bubble chain then applying the function to only those matching elements that caused the event.

*Note: A a general rule, use document as the default for delegated events and not body. body has a bug, to do with styling, that can cause it to not get bubbled mouse events. Also document always exists so you can attach to it outside of a DOM ready handler :)

Definitely you will need to store old value manually, depending on what moment you are interested (before focusing, from last change). Initial value can be taken from defaultValue property:

function onChange() {
    var oldValue = this.defaultValue;
    var newValue = this.value;
}

Value before focusing can be taken as shown in Gone Coding's answer. But you have to keep in mind that value can be changed without focusing.

Just put the initial value into a data attribute when you create the textbox, eg

HTML

<input id="my-textbox" type="text" data-initial-value="6" value="6" /> 

JQuery

$("#my-textbox").change(function () {
 var oldValue = $(this).attr("data-initial-value");
 var newValue = $(this).val();
});