Ok, the moment I inserted my AT&T Gophone SIM in my german, unlocked Iphone 4, it disabled the menu for the APN.
But you can download a Apple configuration tool which allows you to make a new profile with the settings, uploading it to the phone and use it.

I called the AT&T customer support and from my call they could see that I use an Iphone and told me they don't allow data usage on Iphone. Yes, they recognized my german unlocked Iphone. Spooky.

Hello:
Have you any news on how and if a GoPhone prepaid account will work with the iPhone 4 or 4S? I have an active GoPhone account with my Nokia and am considering buying the unlocked 4S when it comes out later this month. If I cut down the SIM, will I be able to use with my iPhone? If not, and I am forced to sign a contract with AT&T (or whoever), do you think I would have to pay the same monthly fees as with the 2-year contract for the locked iPhone 4S?