Using the Hybrid Connection Wizard that is built into Exchange Online and migrating mailboxes to the cloud has been a pretty painless experience so far in my non production lab environments.
I did run into a little piece of info today though that helped me understand how the hybrid setup works a little better.
Exchange Online uses what is called the MRS Proxy Endpoint that resides in the EWS virtual directory. You need to make sure that this has the correct internal and external URL (You should really make sure every virtual directory has the correct internal/external url before trying to migrate a mailbox), and make sure that Enable MRS Proxy endpoint is checked.
It also will query autodiscover to find the value of your outlook anywhere URL and use that to locate the server that has the MRS Proxy Endpoint.
Make sure you can walk before you try to run or you might meet these issues at full speed.