Jailbraking an iPhone is NOT the same as unlocking the iPhone! When you jailbreak the iPhone, you are changing the software in such a way, so you can modify the operating system. This includes changing the look and feel, downloading programs on it that are not available from iTunes, etc.
What you want to do is UNLOCK your iPhone. That doesn’t change the basic OS. It just allows you to put in a non-AT&T GSM chip.
First question you want to ask yourself: Do I want to break my software agreement with Apple and possibly void my warranty? This is really a theoretical question since you can easily restore the phone to its original condition, so no one will know about your dastardly criminal act. No one that is, except of course, God who will punish you with internal damnation. God and Steve Jobs are close friends. (And according to certain Apple fanboys, there is no distinction between the two).
If you’re willing to live with eternal damnation, you can probably find someone locally who’ll be happy to do it for you for a few bucks. If not, someone in Russia who’ll do it for you for a few bucks. If you’re in New York, go down Broadway between 32nd and 15th and ask if someone in one of the phone stores can help you unlock your iPhone.
And, if you’re iPhone is at the end of its two year contract, you can have Apple unlock it for you right through iTunes.
There is a company called Mooglex that sells unlock adapters. I haven’t seen any reviews, but the installation is easy and unlike other self-solutions, doesn’t require you to jailbreak your iPhone.
All other solutions I’ve seen require you to first jailbreak (i.e. modify the software on your iPhone to allow you to download other programs), and then unlock your phone.
I am not a big fan of jailbreaking since if you don’t know the technical details, can put your phone in a state that is vulnerable for attacks. If you do jailbreak your iPhone. Please, please change the damn root password. The iPhone Dev Team created the basic iPhone jailbreak software and has complete directions on how to do whatever you need to do with your iPhone.