I think that possibly you can swap the SIM if you jailbreak the phone - the hackers have not yet unlocked the baseband, but that's just for using non-AT&T sim cards with an AT&T locked phone.

If you swap an activated SIM on a virgin phone for another AT&T SIM, it will want to be connected to iTunes for activation, but I think this bit is addressed by the jailbreak type thing. Various problems might include AT&T working out you have an iPhone on a non-iPhone plan and wanting to charge you the $30/mo data plan though.

Probably a better question to ask on an iPhone bbs!

Hugo
(speaking in a personal capacity)