Thanks to a glitch in the latest iOS 5 version some guys over at the Macrumors forums were able to unlock the iPhone 4S. The procedure doesn't require any software to be downloaded nor does the phone need to be jailbroken. Now there is a dint in this plot, however, as the unlock seems to work only on AT&T-locked iPhones 4S, 4 and 3GS and with a data-enabled T-Mobile SIM.
The steps are simple enough to follow but continue on your own risk. You have enable the Wi-Fi, disable the Location services, then turn Airplane mode while on your active AT&T network. Remove the SIM card and get ready to enter your T-Mobile chip.
Here's a video explaining the hack.
Now try to take this news with a pinch of salt as users mileage varies. Some say it works, most say it doesn't. And so far it has only been confirmed with the AT&T and T-Mo duo of SIMs. Maybe the T-Mobile card is required because it's the only other GSM network in the USA.
One more disadvantage is that if you've been successful in unlocking your iDevice, you should avoid rebooting and resetting as those will void the unlock and you'll need to repeat the whole procedure.