I just recently had my old Iphone 3G unlocked by AT&T for use as a travel phone (regular-sized SIM etc) and found that things were a bit odd on the phone.

Compared to a factory unlocked phone, my AT&T unlocked phone has system messages pop up every time I unlock the screen. On an AT&T SIM, I get "voicemail password incorrect" for no reason, and if I have another SIM in I get "call forwarding enabled". None of this happens on the same model that was bought factory unlocked. Several other friends who also had their old AT&T 3G unlocked for use as a travel phone have also said that their phones are behaving oddly. So the culprit seems to be unlocking in general and not just jailbreaking.