Actually AT&T sends the number and the City/State for the number location. The only way to see the name is if it exists in your contact list.
It is funny though, because, for example, if my son calls my house (AT&T) from his cell, the Caller ID on my home phone will show his wireless number and his name, whereas many of the wireless numbers from other carriers in our area display the number and Wireless Caller for the name.