Sounds like it's a frost-free silcock, and the vast majority of them will not drain if a hose is left on them. There are a few that can drain, and thus are not subject to the same problems. Woodford makes some nice ones that can drain even if you leave a hose on it.
It really depends on how the thing was installed: they typically come either as a solder on, or a screw on. If it is a screw on, it might be fairly easy to replace. But, to prevent problems, you need to have the area in the wall/ceiling/whatever where that connection is to be made open so you can support the threaded portion of the supply pipe, or you can damage things either taking it off or installing the new one. Plus, you need to find out the length of the valve used to pick up the proper replacement. If it is soldered on, you need access to unsolder the existing one and soldering on the new one. It all depends on your skill levels, the tools you have, and your risk aversion levels. Once you have access to the connection point, it could literally be a 10-minute job if all you have to do is unscrew the old one and screw in a new one. Or, if the length is slightly different, you may need to lengthen or shorten the supply pipe connection slightly.