Good to see you wan to learn. When you have rather convoluted If ... Else ... End If conditions, it is often easier to use Select Case. Also, if you are going to declare one variable, you might as well declare all.
Code:
Sub BookmarkUpdate()
Dim oBMRng As Range
Dim lngIndex As Long
For lngIndex = 1 To 4
Set oBMRng = ActiveDocument.Bookmarks("MyBookmark").Range
Select Case lngIndex
Case 1: oBMRng.Text = "First"
Case 2: oBMRng.Text = "Second"
Case 3: oBMRng.Text = "Third"
Case 4: oBMRng.Text = ""
End Select
'Re-insert the bookmark
ActiveDocument.Bookmarks.Add "MyBookmark", oBMRng
Next lngIndex
lbl_Exit:
Exit Sub
End Sub