Also, in response to SnowBoarders, that is not necessary. AT&T happily complies with unlock requests even if you've never touched an AT&T sim with a ten foot pole. Or pole danced. For that matter. All you have to do is not power on the phone, and make sure remove the AT&T sim before, and you can order the unlock from the AT&T site. I can link you to it if you want.
-- W
