If you are an existing AT&T Wireless subscriber, there is a selection for this with the iTunes activation process and you enter your AT&T Wireless cell phone number. You can't change your existing calling plan as part of the iPhone activation process so the only selection is the required $20/month data plan which includes 200 SMS messages with an additional option to have 1500 SMS messages or unlimited SMS messages at an additional cost.
If you are subscriber with a different cellular provider, there is a selection for this also and you enter your account number and cell phone number if you want to port your existing number to AT&T Wireless.
Unless you are a new AT&T Wireless subscriber with no credit or poor credit, no deposit will be required.
http://www.apple.com/iphone/usingiphone/activation.html