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.
If you swap out the SIM card, the voice mail password is forgotten and have to re-enter it again next time you put in your AT&T SIM. It'll only prompt if you have a voice mail.
I got a factory unlock and AT&T unlocked, did not see much difference in between.