From the AT&T forum
"Orders placed through Apple are tracked differently than orders placed through AT&T. Apple ships to individuals directly from China, so your FedEx tracking information goes all the way from Hong Kong, to the US West coast, where it goes through Customs, and then gets sent on the domestic portion of the trip. Orders placed through AT&T come from their main warehouse (which I think is in Texas) and that's where the tracking starts. The phones may have gotten to the warehouse a day or so earlier from China, but you don't see that part on tracking. With AT&T, all you see is the shorter, domestic part of the journey from AT&T to you.
That's why people who got their phones through Apple are getting tracking info before those who ordered through AT&T. Don't worry that people who ordered through Apple are going to get their phones first. They're not. Even if they arrive in the US from HK tonight, I think people will find them "awaiting customs clearance" just long enough to ensure they don't arrive before Apple wants them to. Apple may split them up some half arrive Thursday and the other half arrive Friday like they did with the iPhone 4, but that will hold true whether you order from AT&T or Apple. At least that's what I remember from past experiences"