If you buy an unlocked phone, AT&T doesn't care. You just transfer over your old SIM card. This is how it's always been with AT&T, as I've done this several times.
I know the iPhone requires a data plan, but I've already created one. So, if I was to buy a new 3G iPhone, I should theoretically be able to just plug in my old SIM card. This is what most of you are speculating, correct?
Although, if this isn't the case, I can imagine AT&T getting a lot of angry complaints. And no, I don't mind paying full price for a phone.