Unlocking your iPhone and taking it over to another carrier has been a relatively painless process in the past, but it wasn't always foolproof and didn't work on some modern devices. Different basebands on different phones meant it only worked some of the time. However, a new jailbreak tool called SAM makes unlocking easy to do on any iPhone model capable of running iOS 5 regardless of the baseband.
The process is a bit more complicated than previous methods and you'll need a jailbroken iPhone running iOS 5 or newer. Once you find and download the SAM package in Cydia you'll need to deactivate your phone, and then reactivate based on your country and carrier. SAM spoofs your SIM card and makes it so you can use your iPhone on different carriers. The difference between this and older unlocks is that you need a SIM card of the cell provider you want to switch to so that SAM can spoof it directly. In that way it's not a full unlock where you can just swap SIM cards any time you want.