I believe that unlocking your US 3G iPhone will void any warranties that come with you. AT&T will not unlock the phone either.
I bought a cheap Motorola off eBay and purchased an italian simcard. Last time I bought it from Cellular Abroad. This time I will probably just wait to buy one once I get over there. Then I just bought minutes at the local tabbachi. Of course, you don't get all the features that the iPhone has but I am a chicken about unlocking the phone.
Good luck!