Running with v1.1.1
I noticed a few people mention this, so lemme explain...
The 1.1.1 lockdown checks the baseband version to make sure its 4.01.13_G and if its not you'll get no service.
Thats why when you are doing the jailbreak and have (updated to 1.1.2 then) gone from 1.1.2 to 1.1.1 you get no service.
You can easily run under 1.1.1 if you want by hexediting the lockdownd, search for 4.01.13_G (the 1.1.1 baseband version) and change it to 4.02.13_G (the 1.1.2 baseband version).
This applies for any and all unlock methods, software or otherwise.