T-mobile offers a number of phones with WiFi that, similarly, connect to the T-mobile network via the internet. I hear they are a great way to get around overseas roaming charges.
And wireless spectrum wasn't sold nationally in this country so AT&T (or Verizon or whomever) has different licenses in different locations and the unit needs to know what it can use. Heck, the AT&T device needs to know what spectrum AT&T has offered for 3G usage in an area so as not to interfere with the GSM/EDGE signals.
The reason you can't use it in another country isn't some plot to make it so you can't use domestic minutes overseas. It's because it would be illegal for AT&T to allow you to operate a wireless transmitter on another company's wireless spectrum.
T-Mobile is a different case because they aren't using micro-cells. They're providing handsets that do WiFi and traditional wireless. As such, they can allow you to set up your WiFi device anywhere because WiFi spectrum isn't licensed.
Sprint similarly has a device (the Airave) which is a micro-cell and uses a GPS unit to determine where you are. The trade-off is that you can only install a micro-cell where a company is licensed to operate, but it works with lots of phones -or- you go with WiFi and can put it anywhere, but you need a special WiFi-enabled phone to use it.