I agree it's annoying, but it's not like you are out anything. You buy an unsubsidized phone and a service contract. You cancel the service contract and pay nothing, and are forced to return the phone (I assume for a full refund). So you're back where you started. If you really want an iphone and no service contract, you can just buy another one and not activate it.
(Yes, I admit this is stupid, but the only cost to you is your time, energy, and dignity.)
Though some people on other forums posted that they activated and cancelled and were still able to use the ipod features; did they just fork over an early-termination fee? that's a super-expensive ipod. Maybe that's what the return policy is about - at&t or apple trying to prevent use of the iphone as an ipod (since they probably aren't too worried about people using the phone on other networks, yet). Or is that a generic AT&T policy on all their phones?