Changing the Voltage of AC can be done with a simple iron core transformer. That's a simple device without moving parts that only consists of a magnetic core, copper wire and some isolation (optionally a cooling fluid). Almost nothing that can break. Good transformers can have amazing efficiency of way more than 95%.
There are other benefits to using AC over DC as well (and also downsides). With AC you have way less problems with arcing on switches because. If arcing starts with AC it will often stop the next zero crossing of the AC. With DC, the arc won't stop by itself. Also, with AC you have less problems with material starting to wander because of electrolytic effects. And running motors with (especially 3 phase) AC is close to trivial without the need for brushes. With DC you need brushes or some smart electronics (BLDC-Motors are basically AC motors with some smart electronics attached).
Also, a power grid with AC is self stabilizing (to some extent) via the frequency of the AC.
Downside of AC is losses due to capacitance (blind current also causes resistive losses). Phase shift is always an issue as soon as you work with AC.
Converting DC to another voltage takes more effort. One way is to drive a DC motor that is mechanically coupled with a DC generator. Such systems are big, have moving parts and have lower efficiency.
Today, we have the electronics to do that better. We basically chop the DC up into AC, put that trough a transformer and rectify the output of that again... voila, a DC to DC converter (this is all very simplified).