Software updates do not run without your consent, so the "stealth" factor shouldn't be an issue. But, future firmware updates could very well disable whatever hack was used to unlock your iPhone and, thus, relock it.
So once you unlock an iPhone, you won't be able to run firmware updates, at least not without first waiting to see if the hackers can keep up.
I'm very tempted to buy and unlock an iPhone from the US -- it seems like much better value than an iPod touch -- but I want to wait for the hackers to figure out how to unlock the 1.1.1 firmware update.