Business customer... as in uses a FAN # to get a discount? No, you don't need to go to an AT&T store. You can either call AT&T or use their online service to provide the FAN # for the discount. When they say business users must go to AT&T, they're talking about people who are getting set up on business/enterprise plans and are using a corporate account to buy multiple iPhones for business use.
I have a personal account with AT&T and just applied my FAN # from my company the other day... I'm still very much a personal customer.
EDIT: I just spoke with our corporate contact at AT&T and while she verified that having applied an FAN# to my account does not classify me as a business customer, that I do HAVE to purchase the handset at an AT&T store... so there you have it, straight from AT&T Corporate. Apologies for the incorrect info above. Anyone currently receiving a discount on their plan due to an FAN# is going to want to know this, or you risk waiting however many hours for nothing at an Apple store.