I plan to make an pretty big application on Facebook. Would it be a wiser choice to get the code working on any hosted site before actually modifying it to be used in FB? or would it be too much of a pain to make the code compatible with FB?
It depends on how you implement the Facebook integration. If its a Canvas app, you can choose between IFrame and FBML. If you go with FBML, you'll have to have to register the app with Facebook from the start since it uses Facebook specific XML. If you go with IFrame, you can do everything but the Facebook integration without registering your app. See http://wiki.developers.facebook.com/index.php/Choosing_between_an_FBML_or_IFrame_Application for more information.
There may be other options for a Connect app, but I have no experience with them.
What platform do you plan on using? There are Facebook APIs for javascript, PHP, and .NET.
If its a big application, I suggest you use Facebook Connect, and then use FBML through a Canvas Application. I find Iframe applications work better for smaller apps.
I have been creating a PHP FB application using Facebook Connect, and then FBML and FQL (Facebook Query Language) and its been working out nicely. You will still need to register as a developer before starting out.