you won't be able to do anything with it until you activate it using iTunes. You'll basically have an iPhone only for emergency calls. That is, until you can jailbreak it.
It will not be pre-activated if you're getting it shipped to you, but if you bought it with a subsidy from AT&T, you either send it back (in 30 days I think?) or they bill you for the full price of the contract-free version.