I have a ATT locked 3GS, is there anyway to unlock it and use with different company or will they find out?

Basically this phone was delivered to a wrong house and was signed for by a different person.
So I called ATT and told them what happened and they said i'll get another one tomorrow and the first phone will be locked, so if I do get it, i'll have to ship it back to them. Now, today fedex delivered the locked phone to my house which they were suppost to do 4 days ago, just left it outside my door. I could be fair with them and ship it back or keep it since i didn't even sign for it and theres no proof of them givin it to me.