More so than the developing structure that is going to change, it's certainly set to revolutionize the industry.
From a consumer standpoint, this means you can access ALL games regardless of your owning whichever platform the game is exclusive to. You can also rent and buy games even faster than now, much like you can with movies.
From a retailer standpoint, it is a huge direct competitor, one that you will have to fight very hard against
From a publisher standpoint, and that's where most of the revolution comes, it basically changes the repartition of the purchasing cost for the final product. Currently publishers pay royalties to system manufacturers, and it's up in the air who would have to pay that now, but if OnLive needs to take care of it then the price will only be paid by the end consumer, not the publisher. Even more so, the cut brick and mortar retail takes from your game simply changes to OnLive instead, so that's another question.
OnLive is going to reveal its pricing scheme at GDC in March.