I was told that when you buy an iPhone/iPad from Apple, as soon as you put a sim in then the phone locks to that network and you need to unlock it to use a different sim. However this isn't the case as I tried a different one and it worked. Maybe if you buy from a phone company then it is locked.
I always thought that jail breaking a phone was for those who wanted to avoid paying top whack for an app via a torrent site.