Here's an alternative with no CTE or ranking function:
SELECT
s.*,
y.ReasonToKeep
FROM Sampledata s -- CI scan
OUTER APPLY ( -- CI seek possible
SELECT TOP 1 *
FROM Sampledata i
WHERE i.EntID = s.EntID
AND i.ActionDate < s.ActionDate
ORDER BY i.EntID, i.ActionDate DESC) x
CROSS APPLY ( -- compute scalar
SELECT
ReasonToKeep = CASE
WHEN x.Field_B IS NULL THEN 'FIRST'
WHEN x.Field_B <> s.Field_B THEN 'CHANGED'
END
) y
WHERE y.ReasonToKeep IS NOT NULL
For fast, accurate and documented assistance in answering your questions, please read this article.
Understanding and using APPLY, (I) and (II) Paul White
Hidden RBAR: Triangular Joins / The "Numbers" or "Tally" Table: What it is and how it replaces a loop Jeff Moden