Simply put... when you order from the Apple website and you recieve your phone you don't even need to use it as a phone!!! You can use wifi and pretty much everything else even call people if you have skype. So, first buy it from apple.com then use it for a few days if you like it then take it to the ATT store and have them set it up with a SIM for you unless you already have a SIM.
I disagree with this. So much has been made of the 2-year contract, I'm pretty sure you will have to sign up in order to buy one, on the web or otherwise. Of course, since the cancellation fee is only $175 to $200, anyone can get an iPhone with no service plan for $700 at the most.