I bought a 4S at the Apple store. The sales associate started into the shrink wrap and I asked if I could open it at home. He said he wanted me to open it in the store to insure there were no issues activating it. I didn't want to insist on unboxing it at home since insuring it was functioning properly seemed like a good idea.
That is a good idea.
I never been to an Apple store, since the closest one to me is about 3-4 hours away. If i were to go to one though, I would Expect for them to let me open it myself at home.
I'm talking about AT&T stores, I have no idea what they have to type into the phone? They type something in, make a test call etc. With iPhones and Androids I've purchased.