If you buy it subsidized, then it will be locked to that carrier. If you buy it outright, then it will come unlocked. That's how it is for Canada, and it should be like that for the States now that they have started selling iPhones unlocked, but again, only full price not on contract.
Being a world phone just means that it has the ability to roam on other GSM networks other than your home network. The reason they are advertising this is because the Verizon iPhone 4 wasn't world phone because it was stuck on CDMA networks. The 4S can do both.