I had no idea this thread would have grown this much and generate such discussion. Thank you all for giving your opinions!
My story seems to have reached an end, at least for now, and thankfully so.
I went back to the Apple Store yesterday with the same complaint about scratches but this time I was treated a little differently. Previously they just gave me a new phone sealed in a retail box. Now I was told that they would let me choose from 3 white box phones. Considering my bad luck with the retail boxes I was interested to try this approach. I was then told, however, that this was it. I had to choose from these and that there would be no further exchanges. I was a little miffed at being put in this position. Even if it was my intention to keep the phone I didn't appreciate being talked to in this manner, as if I was some problem for them that they wanted to get rid of.
And of course, none of the three was flawless.
In the end, I chose the one with the least amount of damage (actually I only noticed one scratch on the bottom of the ring).
On the whole this experience has left me feeling a bit disappointed in Apple. First, that out of 5 phones I was offered, all of them had scratches and/or nicks and then the poor customer service experience on the 2nd exchange. But my hope here is that I can now get past this unpleasantness, that there are no functional problems with the phone (I don't anticipate any), and that I will enjoy my new phone.