I've been with AT&T since I was a senior in high school. Well, I think we signed up with AT&T and then a little while later, it was acquired by Cingular and then a little while after that, it went back to being called AT&T. Whatever. Point is, there will be some AT&T-specific stuff in here. However, I'm pretty positive that what I'm sharing will still be somewhat relevant to the other cellular networks. And if not, do a little web search. I'm not some mobile phone expert; I'm just here to share my own experience.
A few years ago, some laws were passed that basically forced the bigwig mobile phone companies to help you unlock your phone for free.
The caveats? Well, you have to be up to date with your payments (as a current customer) and the phone has to be out of contract (basically, an old phone that you tossed in a drawer after you got a brand new phone) or you've terminated your contract and are no longer tied to that mobile phone company. Or, if your contract is current but you were active in the military and being deployed abroad, they have to help you out. Or, if you were never an AT&T customer but you bought an AT&T phone from someone, they have to help you out.
The whole process (for me) was super easy. I just hopped onto AT&T's website. I checked a box on the bottom that said that I agreed to the above (basically saying that my phone was not a stolen phone, that I hadn't used the phone to commit fraud, that I was up to date on my payments, etc.).
Anyway, once your request is approved, all you have to do is backup your phone (if you care to keep its contents) and then restore it to factory settings and then restore to the backup. Hook up your phone to iTunes to restore the phone and once you do, you'll see this lovely little message.
The clerk helped me set up my phone - turned off my cellular network, popped in the SIM card, and refreshed my APN - and then told me not to do anything with my phone until I received confirmation texts that my phone was ready to be used. She said it could take up to 4 hours.
Exactly four hours later, I hadn't received any confirmation texts so I restarted my phone. And voila! I had a connection to Vodafone! And, with the texts welcoming me to Italy, I was able to start using my phone immediately. It was awesome.
I don't have any immediate plans to ever set up another international SIM card, but I love having the option and I'm pretty stoked to have an unlocked iPhone at my disposal.