If you're dead set on the iPhone, go to the Apple store. If there is a possibility you could be or would want to be woo'd by another phone for whatever reason, then go to AT&T.
but how does that work with me having to return it if I dont like it? ATT told me that if I returned the phone within the 30 days, I could go back to using my old phone and would get my upgrade back to use at another time
When I bought my 3Gs I choose the apple store just because. At the time I still owned a storm and wanted to try the iphone before I switched. I asked what the return policy was and they told me that apple does NOT charge the 10% restocking fee that AT&T or bestbuy charges. Also, even though it states 14 day on the receipt, you get the full 30 days that AT&T offers.
So if your not 100% sure you're keeping the iphone, I'd go with the apple store.
It is my understanding that is you return the iphone within 3 days, AT&T will waive the activation fee too. I'm sure you'll love the iphone but something to keep in mind if you hate the service.
