What was the primary religion of the Arab world before Islam? Why did they change?

Depending on your meaning it might be anachronistic to refer to 'the Arab World' before Islam, the Arabs did not begin their large scale assimilating of peoples outside of the Arabian Peninsula until the 7th c AD Areas that we think of as 'Arab' today such as Egypt and Iraq were not Arab in pre-Islamic times.

I'm therefore going to alter your question a bit and explain which religions were present in the areas of the Middle East and North Africa now permeated by Islam.

There wasn't a single dominant faith, rather there were quite a few jostling with each other. Christianity, Judaism and Zoroastrianism had a major presence, along with strands of Abrahamic faiths such as the gnostic sects. The best known of these gnostic traditions is probably Manichaeism

There was also an Arabian polytheistic tradition with many tribal Gods and demons.

It's not really helpful to think of Islam as having supplanted another dominant religion in that part of the world, rather it brought a range of peoples with diverse beliefs together under a new form of Abrahamic monotheism.

That's just a quick summary - there's some really interesting answers in past threads on this subject so do have a read of them if it interests you!