Actually in the US, the phones always come with a SIM. There's a great reason behind this. The activation process works in such a way that a phone that is ever successfully activated with a particular sim can always be reactivated on that SIM even if it doesn't have service at all. This means my old iPhone 2G is still a great video iPod Touch-alike device, as well as another potential game playing machine, etc. or perhaps skype? whatever the case it's still useful long after its sim is deactivated.
If you shove just some random other SIM in it, iTunes won't activate (and unlock the phone's screen) without that SIM being associated with an actual account.
The OP doesn't state which country they're in so I'm going by what is the standard over here, and (foolishly?) assuming that most other countries do something similar