This is why I laugh at people jailbreaking their iPhones, at any time AT&T can find out and take whatever action they want.
No they can't. Once you buy a phone it is legally yours. You can do whatever you want to it. You can throw it in a blender. You can unlock it. You can jailbreak it. AT&T only has control over their network -- not your phone. It's your device. Now they can charge you a sh*t load if you tether it against your agreement if they can somehow prove that you violated your contract but other than that AT&T has no recourse.