Also, you'll need to probably enter some settings into the phone if you get it elsewhere, but if you call at&t, they should help you out.
One of my friends got an unlocked phone, and he was having some difficulties with it until he called at&t up.
But if you want to save money, just get a phone from at&t. After the return period, they'll usually be willing to unlock it for you. I had them unlock my razr last may. I just told them that I was going on a trip overseas and the trip-organizer was providing SIM c...
At least with my razr, I didn't notice anything different once I had it unlocked. Though, when I was using a foreign sim, more options would show up under networks; I could select any available GSM network I wanted to connect to.