This was not the case with the last two iPhones that I got. If you buy an AT&T iPhone at full-price from an Apple store, it's automatically unlocked when you sync with iTunes. The phone can then be used with any GSM carrier like T-Mobile.
This makes sense as carriers cannot expect to keep the phones locked when customers pay the unsubsidized price.
But did you buy on launch day?
This was discussed many times over last year, and the previous year. Apple prevented the carriers from selling the phone unlocked for a while (to ease the scalping issue). Within the first week or so, some IMEI numbers were whitelisted and some people got lucky. But Apple has nothing to do with the process of unlocking phones; that's the carriers. Apple will only sell unlocked phones.
https://forums.macrumors.com/threads/1463240/
https://forums.macrumors.com/threads/1442449/
https://forums.macrumors.com/threads/1445227/
https://forums.macrumors.com/threads/1459429/
Again, in the past the full-priced phones were not supposed come out of the box unlocked on the launch day. This article is for those who did purchase the full price iPhones on launch day, but later unlocked it after the fact. If they were unlocked out of the box in the first place, then they wouldn't need to do this.
http://techcrunch.com/2012/09/26/to-unlock-a-full-price-att-iphone-5-just-restore-it-in-itunes/
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Yes, but that was to point out that T-Mobile will have the 5s from launch day.
Well there is one option.