If I buy an apple iPhone 4s from the USA would it work in another country such as Egypt?

Only if it is an unlocked phone. If you do that though, make sure it is in fact an unlocked phone, I've seen some people on here claiming that they thought they got an unlocked phone but it was actually a locked phone that was simply sold without a carrier plan (not the same thing!)

not if it's locked to at&t or if it's a cdma phone

The unlocked iPhone 4 is available at Apple stores and online, the iPhone 4S is ONLY available via Apples online store thus far. YOU CANNOT purchase one in the physical Apple stores yet.