Absolutely no way the iPhone doesn't have a SIM slot. AT&T/Cingular's network is GSM, and on a GSM network my understanding is that a SIM card is mandatory for that type of network (
link, granted it's Wikipedia).
It would be useless to bill the iPhone as a quad-band without a SIM slot - most of the rest of the world uses GSM and hence SIM cards. According to
one site (again, take with a grain of salt) indicates that the iPhone has a GSM slot.
I've always been with Verizon so I've never personally dealt with SIMs, but tell me if the slot shown on the
Apple iPhone specs page doesn't look like the appropriate place to stick one?