GSM in North America uses 1900 MHz, while GSM in the rest of the world uses 900 or 1800 MHz. Your "world phone" is probably a 900/1800 Mhz phone (or perhaps just one or the other).

The good news is that you can get a free US-only GSM from AT&T with signup, and stick your AT&T SIM into your world phone when you're overseas.

Look for a "next generation" phone - I'd recommend a "next generation multi-band" phone from AT&T. AT&T's GSM service is still pretty spotty but the multi-band will also work on TDMA...

I can't believe how poor a job AT&T's website does of explaining this...