There are legally unlocked iPhones in Europe, Singapore, and Australia. In the US, at&t isn't sure they will even offer one, but have posted the priced if/when they do. Likely it won't happen in the US until current demand has been satisfied.
Just out of curiosity, why? I have bought many iphones off of CL -- without any problems. Just make sure you meet in a public place (I always meet at a starbucks) for safety.
In fact, I have found that if you put in a little time, you can get a great price on a 3g by buying more than 1 and selling them at a profit. I have an 16GB 3g that I got for an old laptop and a 16GB Touch and I walked away with almost $100 in all of the deals.