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I'm looking to setup My Domain as part of setting up SSO with OKTA. Since deploying My Domain is one of those irrevocable features it always make me a little concerned that it may inadvertent affects that I won't find out about until it's to late. Is there anything to be concerned about?

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My Domain replaces your URL with the MyDomain.my.salesforce.com URL

Before Summer'13 there was a problem where the older pre-MyDomain links wouldn't redirect 'properly' to the My Domain links, eg if you clicked on a link you received from Chatter via email, it would ask you to login again even though you were already logged in, because somehow it couldn't relate the two domains as being the same, probably something to do with how the session cookie was set in your browser.

This has been resolved in Summer'13 and it now redirects properly.

If you've got external links on say an intranet pointing to Salesforce, best to replace those links.

Also best to get mobile and chatter desktop users to change their Config and set the server URL to your my domain URL. This will allow you to turn off login from login.my.salesforce.com when you're ready (This can be gradual as already logged in users will be okay because of the Oauth token being still active)

Before you push out My Domain, there is an admin only test phase, where you should test Visualforce pages and any other complex Customisations which you may have done. You can choose not to mass deploy My Domain to your users at this stage if you discover any serious issues.

I'd recommend refreshing a (Full Copy with Chatter Data, if possible) Sandbox from Production and testing your My Domain Change before taking the plunge. A good opportunity to refactor those skeleton in your closet absolute hardcoded links in custom buttons and VF pages to relative links!

Even after you turn off login from login.salesforce.com, users who will not be set up on tour IdP can login with salesforce credentials by pointing their browsers to MyDomain.my.salesforce.com/?login

The one slight gotcha I found was Chatterbox Desktop doesn't yet support a custom My Domain URL but then what I'm using is an early beta, that support may come.

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I know this is old, but I'll add to this.

Ditto the sandbox recommendation above

Here's a little bit of a gotcha: You can't change the color of the login button, but you kinda dont know that until you've already implemented it. Depending on the colors used in your branding, the 'ol SFDC blue might look great...or might look horrible.

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