What? You can remove the SIM.
The iPhone 3G even ships with the tool necessary. Very stylish, but a paper clip does the same trick.
If you image-google for "iphone sim" you will find plenty of pictures like this:
http://origin.arstechnica.com/journals/apple.media/iphone_sim1.jpg
And the kicker: You can replace the SIM while the iPhone is running. No need to shut it down