Not really. Just head down to ATT and ask for one. They should give you one for free. When they ask you if you want them to activate it tell them no. You just want the sim and that is all. Then pop it in, and once activated remove the sim.
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Went looking and here is what Apple has to say on the matter.
Using an iPhone without wireless service plan.
From reading this it looks like you can use an existing sim card too. So if someone you know has the correct sized sim you can put it in your phone to activate it, and then pop it back out and give it back to them? Not sure if this would do anything to their account, but if you have a friend or family member that already has an iPhone it should work just fine.