General

If it's a GSM phone, it's not an issue. Just put your SIM in the unlocked phone - there is no "activation" per se. The carriers are generally fine with that, and will not remotely lock your phone (I don't even think it's technically possible).

If it's CDMA, it's tricky. Sprint won't activate a non-Sprint phone, period. It's possible to activate an unlocked CDMA phone with Verizon, but I don't believe it's supported, and not all reps will do it. Other carriers each have their own policy.

The worst thing that can happen is only that they refuse to activate it. If you do get it activated against company policy, they're not got going to chase you or throw you in jail. At least I've never heard of anything like that, and I don't think it would be worth the effort for them, unless your device was going berserk and wreaking havoc on the network, etc.