A laser diode subjected to optoelectronic feedback in which some light is converted to photocurrent that is fed back into the laser injection terminals can display periodic oscillations in its optical intensity. We demonstrate experimental and numerical evidence that, as the feedback level is varied, a stepwise change in the oscillation frequency manifests itself in the output optical intensity. These transitions in the dynamics can either correspond to an abrupt jump between two limit cycles, associated with a subcritical torus bifurcation of a limit cycle, or to a progressive switching mediated by an intermediate quasiperiodic state. Finally, when ramping the feedback level down, hysteresis is observed in the sequence of switching events between the limit cycles. Such devices are of interest for photonic microwave sources for wavelength-division multiplexed radio-over-fiber systems.