I've now done this successfully, too, at the Spokane, WA Apple Store yesterday. Paid full-price, plugged into iTunes, got unlocked message. Didn't even bother removing the preloaded AT&T SIM.
There is actually more to the story, though: I went the previous day, purchased a 4S full-price, got not grief from the staff doing so, and then got all the way home, opened the box, powered it up, and discovered they have sold me a Verizon SKU instead of an AT&T one. (I *did* specifically ask for AT&T.) I looked at the e-mail receipt they sent me, and sure enough, it also said Verizon. #$%@#% For grins, I threw my AT&T SIM in, and -- as expected -- was told by iTunes that I needed to have a valid SIM card to activate the phone.
So I went back, explained what happened, and they were very helpful in exchanging the phone for the right one.
BTW, absolutely no lines in the store, either on Saturday or Sunday. Didn't make a reservation before going in on Saturday. Sounds like they were well out of 16GBs, but you pretty much had your pick of 32 or 64 in either color on any of the carriers. Made a reservation on Saturday night before going in again on Sunday, just in case, but it sounded like it wasn't necessary and they would still have had a phone for me if I had shown up unannounced again.
-- Nathan