Here's a thing...
I am a developer, and I took A DEEPER look into 2.2 firmware, with iPhone with no cell service activation (basically an iPod touch, but still an iPhone)
What I did was jailbroken the phone (don't worry, the phone has no cell service, so at&t cannot track what I am doing), disassembled the firmware, and found a weired code. I analyzed the code, and found that the code was for at&t (not Apple) terminate the phone if found jailbroken in specific way (which I am still analyzing) to a useless, broken, unbootable brick.
I think though, this is only for 2nd gen iPhone, the iPhone 3G, so if your's a first gen iPhone, then you MIGHT be okay, but for iPhone 3G, if you use Pwnage Tool, then it might activate the code.
The code, I don't know how it exactly is activated, but it is specific to what to do if phone is Jailbroken.