Congratulations, you live in a country with an area the size of California.
So Sweden is a small country but we have plans that allow is to use our mobile networks to whatever we want, unfortunately US is not a free country in that respect. It's a shame that Apple's dictatorship prevents the rest of the world to use their iPhone to its full potential, despite the non-existing agreement between AT&T and Apple... The only solution at the moment is to jailbreak.