I am currently working on redesigning an EE implementation for a client from a single EE 1.7.x site to an EE 2.x multi site manager. The following are a few bumps on the road and things I've picked up on the way:
The latest MSM add-on as of this writing was 2.0 (build 20101018) and ONLY works on EE 2.1.3. I had first installed 2.1.1 and guess what --> blank pages everywhere
One interesting thing we found out is that you can create an Playa field in a child site and have that relate to a channel in the Original site. That is a great way to have centralized shared entries.
Make sure to setup basic settings before creating new sites based on the original site (example: setting up the main upload directory). That's a nice little time saver.
Be sure to use version 2.2.5 or higher to avoid getting a bunch of PHP errors/warnings.
I will keep updating this entry as I bump into more gotchas 
