I would absolutely not suggest changing the altimeter setting after you're cleared for the approach. Regardless of whether or not the altimeter at the destination is higher or lower than the one you received on departure, you're setting yourself up for either a steep descent or a last-minute climb on certain approaches. It is certainly important to have the destination altimeter when you commence the approach, but I would recommend setting it early enough so that you have one less thing to worry about during the critical final approach course intercept or altitude step-down processes in the approach.
If you know the destination altimeter is low or high enough to the point that it will impact your Mode C readout on the controller's scope, give the controllers a heads up before you switch to the new altimeter setting.
I would also suggest filing a NASA repor
t of the incident, because this could be an issue that needs to be clarified in the AIM or the controller's manual, the Order 7110.65. After searching both of those documents, I came up with nothing on the topic. Casper87, what's your reference for those rules?