Can I buy a iPhone 3g and use AT&T's Go Phone service?

I am currently an AT&T customer with a current Go Phone plan. I would like to buy an iPhone but from all that I have read I still am confused if I will be able to use it. Can I buy the phone from apple without activating it in the store? Then just put in my sim card and add the data plan? Will that work? Or do I need to buy a phone off eBay? unlocked? to avoid the in-store activation? Thank you for your insight and opinion.