Yes, it's true! As this article shows, the iPhone has been unlocked and used to access the internet in many many countries where there is no official service. Thus explaining where all those "unsold" iPhones really are! Asia and Africa appear to be the places where most unlocked iPhones have ended up.
Also telling in the report is that iPhone/iPod Touch internet usage has already surpassed the stagnant Windows Mobile market share - 0.17% compared to 0.06%.