If you stay with Cingular, then there's no advantage to unlocking the device from a SIM point of view.
There is also application lock, but the 3125 should already be application unlocked.
There are plenty of hacks and tweaks you can make. Search around the site, or even check out a copy of Tweaks2k
enjoy the phone!
"I have no special talents, I am only passionately curious" - Albert Einstein