Jobs has said it:
the upcoming software update will likely brick unlocked iPhones. It only makes sense, they have contracts with their carriers and have to make sure that the phones aren't used on different networks. It also cuts into Apple's own revenue (through the revenue sharing with AT&T and others). The reason they're making a big fuss now is certainly to scare people into not unlocking their phones and also to be able to say "we told you!" when the whining begins. I wouldn't be surprised if they had some additional warning pop up before you could apply the update to be absolutely sure.
So now you know. Don't unlock your phone or forever live on 1.0.2. We'll see how the unlocking utility makers react, but I'm sure they will have a hard time keeping their customers from bricking their phones and playing catch-up with Apple.