AT&T does not warranty the iPhone and the warranty is only voided for unauthorized software unlocks (jailbreaking, Cydia, Ultrasn0w etc.).  Nobody knows if this iTunes method of unlock will void the warranty.  The phone or its software is not modified in any way.  The IMEI is added to Apple's database and it's unlocked.

Also, you can unlock a US iPhone if you go overseas.  One of my coworkers did it when he travelled.  O2 unlocked his phone when he bought a SIM from them to use in his iPhone.

https://www.o2.co.uk/apps/help/help?qid=1&q1=2&route=unlocking