I am on the phone with AT&T and was told that you have to call them to activate your sim. When Apply shipped the phone, AT&T doesn't know your sim number, the ICCID # located on the sim itself or on the box. Once AT&T enters you sim number, you will be good to go with them, but still have to wait for the Apple activation.
Once AT&T did their activations, I was able to get some bars or service on the phone which I didn't have before. I still can not make calls yet, and now my old sim is deactivated, but at least I am home and don't need my cell for a while.
I don't know if this step has to be done, but according to the woman I spoke to, if you preordered from Apple, it does. I didn't ask about AT&T preorders, but I would guess it is the same.