Instantiate returns a reference to the instantiated object. As long as you have only one object alive at each given time you can save that reference in order to destroy it, and do something like this:

var childObject : GameObject[];
var changeObj : int = 1;
var currObjAlive: GameObject;

function onScrollChangeObject()
{
    // If there is already an object alive- destroy it
    if (currObjAlive)
        Destroy(currObjAlive);

    currObjAlive = Instantiate(childObject[changeObj],transform.position,transform.rotation);
    //I want the new object to be the child of this object (with the script)
    currObjAlive.transform.parent = transform;
}   

function Update () 
{
    if (Input.GetButtonDown("Fire1"))
    {
            //Is it possible to use a 'for' loop to do this cycle
        if(changeObj<2){
            changeObj++;
        } else {
            changeObj = 0;
        }
        onScrollChangeObject();
}

BTW - a nifty trick to use in situation where you have an array and you want to iterate over it using the index and loop is:

if (Input.GetButtonDown("Fire1"))
{
    changeObj = (changeObj + 1) % 2;
    onScrollChangeObject();
}