You do not need an unlocked phone to use AT&T Go Phone prepaid plans. I have used a 3GS, 4 and now a 4S all locked to AT&T on my Go Phone prepaid plan. All you need is to add the APN to get data working, thats it. No unlock or jailbreak required.
I know. I've been using an ATT locked iPhone 3GS on Go Phone 10 cent prepaid plan for a year. However, ATT announced two weeks ago that starting April 18th if any smartphone user wants data using a Go Phone plan, they must have either the $25 or $50 voice package, in addition to data. If you don't upgrade to a $25 or $50 per month plan your data will stop working and expire, period. That's not just an iPhone policy, it's all smartphone's on the Go Phone plans.
Two days ago I switched to Air Voice Wireless, which is $10 per month for an assortment of stuff, depending on what you use. It's more expensive per month than what I was paying, but the cheapest plan I could find that still offers data. It's also an ATT reseller that works on locked ATT phones, minutes rollover if topped off before the monthly expiration, etc. We'll see how soon ATT tells their resellers to stop offering plans like this.
ATT has lost a lot of business in the last couple of weeks from Go Phone users, if you go read Howard Forums. Everyone is upset with this new policy. My bare minimum usage was costing me $25 every 3 months. Now it will be a minimum of $90 every 3 months, $75 of that for voice and texting services I don't use. I'm not going to pay $25 per month for services I do not use. I do not make many calls and hardly text, but I do use wireless internet regularly. You would think some of these companies would start realizing that and offer some plans built around those models. I'm not a heavy internet user on my phone, I just like having constant email updates, ebay updates, etc., etc. I probably use less than 50mb of data per month, sometimes half of that or even less. If you make 0 calls and 0 texts the Air Voice plan gives 30mb of data per month. So far, after just a few days, it works fine. But we'll see how quickly the data plan goes and if I can add extra money like I could with ATT $25 for 500mb, I think, that didn't expire as long as you didn't let your regular plan expire.
If ATT had been willing to unlock my phone I would have had more choices for providers to switch to, such as Tru Phone which their data prices are half the price of Air Voice and H20, but it requires an unlocked iPhone. I did not buy my iPhone from ATT, and despite it being older than 2 years and out of contract, they refuse to unlock it.