Oh it's not just the US that does it.
Check out Apple's world list of iPhone carriers.
It shows which ones come unlocked, and which ones will unlock or not. At first glance, about half are locked.
I may be mistaken but carriers in Canada are now legally required to unlock phones after contracts expire at the request of the customer. After that though you lose handset protection etc. My friend just had their iPhone 3G unlocked by Rogers after their contract expired. It's weird that the website doesn't say they do it, but I'm pretty sure they do.