(First, understand what an IMEI is, and what an MEID is.)
1. The iPhone is activated (carrier locked) at the store,
2. The carriers each have an inventory database of IMEIs (AT&T, unlocked) or MEIDs (if for Verizon/Sprint) that match up to the iPhones that are sold for their respective carrier. Unlocked iPhones won't match up with any carrier's database.
Even if you happened to walk away with an unactivated iPhone, or bought a factory-unlocked iPhone in the US:
2a. Sprint/Verizon will not activate any iPhone with an IMEI. This includes the factory-unlocked iPhone 4S. They will only activate "their" iPhones (ones that have an MEID that match up with entries in their respective inventory databases). They will not activate an AT&T iPhone, even if unlocked. Sprint won't activate a Verizon-designated iPhone, and Verizon will look at you funny if you bring them a Sprint-destined iPhone, and probably won't activate it.
2b. AT&T will activate any factory-unlocked iPhone on their network. Technically, there shouldn't be anything stopping them from activating a CDMA-carrier-bound iPhone 4s if it's been fully unlocked. But, if they see an MEID where they're used to seeing an IMEI, they might look at you funny. Also, there's no telling what their software will do with that. So, I wouldn't count on it working.
3. Lastly, All of the carriers have procedures in place for those who buy a subsidized phone and don't activate it. In a Nutshell, they'll either get their money, or they will ruin your credit.
Thanks. Didn't know about MEIDs. Good info. This question was prompted by a discussion about the "unofficially" unlocked iPhone 4s that folks have, i.e. the unsubsidized version. And whether AT&T could/would lock it.