The Windows Azure Service Bus Relay enables applications hosted anywhere with an internet connection to securely call back to applications hosted in your own datacenter behind a firewall. The CRM 2011 SDK offers documentation on how to use the Windows Azure Service Bus Relay from CRM Online. Here’s a link to the documentation that describes the scenario:
The video below demonstrates a working example of the end to end scenario and walks you through the configuration.
NOTE: The video shows my WCF service running in a console application for simplicity. Many will want to host their services in IIS. See IIS hosting of Wcf Services with Servicebus Endpoints for more details.