I debated over and over about adding AT&T and the iPhone since I am locked into T-Mobile USA for another year and have been closely following the iPhone unlocking stories. I was ready to pay the US$50 to the Australian site for the iPhoneSimFree solution in a couple of days when I just discovered on Gizmodo that the software unlock has been hacked and can now be performed for FREE. You can find both Windows and Mac installation guidance on the Hackint0sh forums and the best Windows directions I found so far can be viewed here and here. Be aware that performing this unlock may brick your iPhone and cancel your warranty and is not endorsed or recommended by ZDNet or myself. That said, I think I am going to take the risk and do it myself and most likely cancel my AT&T contract. I like my T-Mobile service, unlimited text message plan, and family plan options and paying US$45 more per month and juggling multiple SIMs and phone numbers is getting to be a bit of a pain.
If you are going to try this, I recommend checking out the good comprehensive thread at the MacRumors forums where you can find links to Mac and PC installation guidelines. I am going through the Mac process right now with my iPhone.
UPDATE: My iPhone is now successfully working with T-Mobile USA. The process did take me about an hour because I had some issues with directions that weren't entirely complete and there was a bit of trial-and-error to get the right files loaded on the iPhone and manage the CommCenter. You will have to enter quite a few commands in the Terminal (at least on my MBP I did) so make sure you don't mind working with the Terminal before attempting this process.