Do what you want. If it doesn't work out, at least you can say you tried. There will always be failures in life, don't let the POSSIBLE negatives discourage you, unless you want to be discouraged.
However, you should devise a plan B if things don't work out. Have extra cash saved, have a living situation prepared, etc.
My brother met his fiancee on WoW. After a year or so into their relationship (they had visited each other two or three times) she moved here, to Illinois, from Florida. They've been together now for about four years.
Also, it doesn't matter if you met the girl online or in person. ALL relationships have the possibility of failure.