If you bought from Apple or AT&T, then yes, you have to have a data package. If you bought it "new" through another 3rd party and do not have the required service package, then you can simply use WiFi when it's available.
However, the phone needs to be activated first, and that is generally done through iTunes or at the store you bought it from.
And Honestly, if you don't plan on taking advantage of having service, you should have just bought an ipod touch. It's about the same thing as an out of service iPhone without a camera.
I think the more appropiate statement is owning an iPhone without the data package is practially pointless. Even with regular access to wifi, there are still going to be plenty of occasions where wifi is not available, which means no email, maps, Internet, or apps that pull down information.
I'm sure that the standard response to anyone asking about getting the iPhone without data is going to be told it won't work, because most of the phones true functions require connectivity. And whether they can block data access or not becomes important, because otherwise you end up with the $1500 phone bill.
But if they are telling you you have to have it, then there is really no way you are getting around it unless you buy one off eBay.