It's only illegal to unlock a device that you still owe on contract. If you buy the device outright, it is perfectly legal to still unlock it.
For those of you who have ATT and wish to unlock your device, here is the contact information I used. This is the CEO of ATT Mobile.
Ralph.delaVega@att.com
If you live outside the US, and/or do not use ATT as your service provider, and DID NOT pay for the device in full, I wouldn't even bother trying to contact ATT. They WILL NOT help you.
I sold my unlocked 920 on eBay for $500 USD, including wireless charging pad.
Good luck to you.