Well it really does depends upon which iPhone you have.
If its the original, head over to iPhonehacks.com for more info.
The iPhone 3G does not, as far as I'm aware have a firmware unlock method, thought its been jailbroken.
The only option that you currently have to use another Network's SIM (as I believe that's what you probably want to do) is to get a product like SIMable
Which is basicly an adaptor which slips over the SIM card you want to use, and fools the iPhone into thinking it is an authorised SIM.
I've not personally tried it yet, but am waiting for my iSmartphone Device to arrive. I decided on getting it as it does not require any mods to the SIM itself, unlike the SIMable which requires you to punch a hole in it. Its also pretty cheap, around $15 on ebay, or £9 including delivery.
had a nice mention of it, and I'll suggest scrolling down the comments for more info.