Does Apple really sell unlocked phones? I bought mine as factory unlocked through Amazon and guess what? I got locked!

You can purchase unlocked phones directly through Apple. Apple doesn't, to the best of my knowledge, sell through Amazon so you'd need to consult whoever you bought it from.

Amazon is NOT an authorized distributor for the iPhone. Sadly, they have largely become a clearing house for lots of shady 3rd party sellers. Basically e-bay without the auctions. If you bought it through Amazon and it was not as advertised, return it.