@bluebay
Since it's from US and it's locked to AT&T, you can't activate it here unless you are going to use AT&T service on the phone.

For now, what you need to do is (in correct order):
1) Jailbreak (which is still tethered for iPhone 4.2.1) - Rumors said Dev team will release untethered JB on Christmas
2) Hacktivate the phone (since you can't activate using local sim) - it's a hack to activate the phone to get pass the emergency call only screen
3) Unlock the baseband (using ultrasn0w to unlock the baseband so you can use any sim besides AT&T) - but an upgrade to the baseband thru iOS firmware upgrade will lock the baseband back to AT&T

With the availability of unlocked set around, most people do not go to the AT&T phone (or any locked) phone anymore because of the hassle to wait for jailbreak and baseband unlock. You must be up to date with what's happening or you'll be stuck with a paper weight from upgrading to the latest iOS firmware.

Good luck to you with the AT&T set.