For AT&T your phone will be shipped to the address that is saved into that account, most likely your billing address. I recently added a line ordering the 4S for my wife and there was no option to choose the shipping, it automatically ships to your address that is saved on that account. You may want to call AT&T and change your billing address to your work location then they will ship it to your work place.
I'm not too sure on Apple site tho.
AT&T might be strict about it. They often make things more difficult than need be.
It's not AT&T, it's your CC company. 2 ways to do this:
1 - Order to have it shipped to your billing address then call Apple and have them change the shipping address
2 - Call your CC company and add your work address to your account. I've never shipped a phone to my house and have never had a problem either ordering or receiving one.
you are wrong, it is at&t. Check my post...apple let me do it last year. I order off of amazon all the time to different shipping addresses....it is the seller not the CC company.