Unless software has changed, you can only unlock it if you jailbreak, but you can jailbreak without unlocking.

If it's an O2 phone and over a year old, O2 will unlock it (permanently, and legally) for free (if on contract) or for £15 (if PAYG). Need to fill out an unlock request on O2's site, they send the IMEI to Apple in California who mark the baseband as unlocked, and after it's been processed, when you next plug into iTunes, the handset becomes unlocked officially. That's how I did mine and it's on T-Mobile with no probs