One event which you can use is:
sales_order_address_save_after
Inside the observer, you can access the address by calling $observer->getData('address'). You will probably have to check whether the address is newly created or not (i.e. by $address->isObjectNew()). If you define the event in the etc/adminhtml/events.xml, you won't catch frontend changes.
Andreas von Studnitz, Trainer, Consultant, Developer and CEO of integer_net, Germany.