TUAW posts a rough guide on how to relock your iPhone to avoid the threat that the upcoming iPhone 1.1.1 update will leave your iPhone in a "permanently inoperable" state.
Following the instructions and restoring your broadband firmware should make your iPhone indistinguishable from an never-unlocked iPhone. Of course, you will lose your ability to use non-AT&T SIM cards.
Update: Seems some have tried with mixed results, so proceed with caution, or wait until a tested/confirmed solution is available. The TUAW post has been updated.