I contacted AT&T about this very same thing and I was told that you can shop in a retail AT&T store and give the FAN # when activating your new contract, or to just call AT&T and have the FAN # applied to your account. The discount does not apply to the hardware itself, but rather the monthly plan. So you should be fine to go to AT&T or Apple... just call AT&T afterwards.
I have a similar discount due to my employer, so to avoid confusion I'm heading to an AT&T store for launch. They seem to be better equipped for corporate discounts, as they had the list of companies right there behind the counter when I went in for my advance credit check. What the register jockey didn't know, the store manager spouted what to do down to the keystrokes like it was an old hat. I don't think the manager at an Apple store will be that knowledgeable, regardless of how well trained the other employees are, so that's why I'm hitting up the AT&T store instead.