And has called AT&T to ask if they could unlock it? It's worth a shot, isn't it? 
I read:
"One thing we do know: anyone traveling overseas will want this phone unlocked or it will be ridiculously expensive to use. Which means AT&T are going to be getting a lot of calls demanding the phone be unlocked, especially from those people prepared to buy out the contract for $175. If they haven't already got a policy in place for unlocking the phones, they will be getting an increasing number of complaints."
http://www.iPhoneaway.com/2007/07/how-gsm-subsidy-locking-works-in-us.html
I read:
"One thing we do know: anyone traveling overseas will want this phone unlocked or it will be ridiculously expensive to use. Which means AT&T are going to be getting a lot of calls demanding the phone be unlocked, especially from those people prepared to buy out the contract for $175. If they haven't already got a policy in place for unlocking the phones, they will be getting an increasing number of complaints."
http://www.iPhoneaway.com/2007/07/how-gsm-subsidy-locking-works-in-us.html