I'm disappointed to share that my experience hasn't been so smooth. Moving the AT&T SIM card from my iPhone 5 to the new iPhone 6 (A1428 -- contract free) did enable VOICE and TEXT operations, but no data. I have NOT received the text message the original poster described and others have also seen.
Before even powering up the iPhone 6, I moved my iPhone 5's AT&T SIM into the iPhone 6. I powered up the iPhone 6 and connected it via USB to my MacBook Pro and fired up iTunes. iTunes first raised a box stating something to the effect that there were new carrier settings and did I want to proceed. I selected yes and then was prompted to choose either a new phone or restore from backup. I chose the latter.
At first, all appeared to be okay with "AT&T" and five strength bars illuminated at top left, but for data is showed "4G". However, launching any data-app (e.g. Mail or Safari) resulted in: Could not activate cellular data network. You are not subscribed to a cellular data service.
I checked settings, toggled the Cellular->Cellular Data off and back on. Ensured Enable LTE was set. With or without LTE, I consistently was presented with the previously mentioned message about the inability to activate cellular data. If I enable WiFi, I'm able to use it, but no cellular data.
I contacted AT&T via land-line phone. Was handed off to advanced technical support. They tried various things on their end, including first, updating my IMEI. None of their efforts resulted in any change in behavior.
I shared with them that there appeared to be other folks who have succeeded doing this. This ushered in a discussion of a distinction between PREPAID and POSTPAID accounts. I have a PREPAID account. After all, I don't need to use a significantly more expensive POSTPAID as I'm not under any contract. The theory is that there may be an issue of their "back end" handling of PREPAID SIM cards. So, I currently have two avenues to pursue. The AT&T tech suggested I go into a store tomorrow and request a new PREPAID SIM and see if that fixes it. It might, but then it might not. AT&T has also opened a special "case file" for this issue which they intend to work, but I was told I probably won't hear back from that until next week.