But phones are not always locked to their carrier. Here in Sweden it is quite simple to buy an unlocked phone - you just buy it from a retailer (example:
Webhallen) without a contract or PAYG attached. Buying a phone as part of a contract is a convenience that spreads the cost of the phone over a period of time, but it is not the only way of buying a phone. As always, for convenience you give up a little freedom. Some people like this, some don't. As far as I am aware the only phone I have had over the past decade that has been locked was my iPhone 3G.
It is noticeable that just about the only manufacturer that doesn't allow this is Apple. All the other major ones - HTC, Nokia, Sony Ericsson and whatnot do. Check the Webhallen link above - can you find the Apple mobiles?
For me the real problem is trust. People here may disagree, but I do not trust Apple to let me do what I want to do - the way they have locked down the iPhone up until now is all the evidence I need. Right now if you have chosen (and it is a choice, as long as you don't want an Apple phone) to buy an unlocked phone then you can put whatever SIM in it that you choose. If we go SIM-less then an element of control is lost - it is trivial for Apple to add checks so that a phone cannot be used with a certain operator.
Apple are control freaks and, in my opinion, the idea that Apple wants to do something regarding contracts that makes it easier for the consumer is absolutely absurd. They would LOVE to be in complete control, the consumer at the mercy of their app as to whether they can connect to a certain network or not.
Regarding multiple types of SIMs, as far as I am aware (and I am prepared to be wrong) there are only two, the standard SIM and the new mini SIM. The mini is something that isn't that popular (I personally haven't even seen one yet - my HTC Desire certainly takes a "normal" one) and even then there is an adapter so that it can be converted into a "normal" SIM.