The Roland JX-3P is almost perfect. It responds to program changes instantly and even sustains notes over a program change, but the sustaining notes are abruptly changed to the new patch, so it can sound glitchy, e.g. when notes that are in the process of releasing suddenly have their filters open.
A lot of multitimbral, sample-based instruments feature "seamless patch changes," where voices will continue across a patch change and keep their original sound until they finish. Mixer settings or master effects may still change instantly on some instruments, e.g. the Casio PX-5S.