I wanted to add my experience.. The other posters are correct that AT&T requires a data plan for the iPhone. I feel as a customer out of contract, you should be able to use the iPhone as you see fit. They disagree and feel it necessary to force all iPhone users to pay $100/mo for service, requiring a cellular data plan, which is just ridiculous.
Fortunately, T-Mobile does not... I called them and they have a sim only service that is fully compatible with the iPhone - I have iPhone 4. In this case, I paid about $1 for the new sim, and the monthly service (NO CONTRACT) was only $30! This includes 1200 minutes/texts - more than necessary for me.
Some people wonder why you'd use an iPhone without data... well, for me, I'm mostly at home right now, so the times I need cellular data is rare. T-Mobile made it incredibly easy (2 hrs to move my phone number) and cheap... it was an absolute no-brainer.
Good luck, Jon