You'll most likely have to borrow an AT&T SIM card to activate it.
The phone is most probably on 3.1.3, in which case:
You are right in that there is now an untethered jailbreak, however these require the phone to be
activated first.
Hacktivation (activation crack) is not possible on 3.1.3, only 3.1.2 and lower afaik, and since the phone is brand new, there are no SHSH blobs stored for older firmwares, so you will not be able to downgrade.
If the phone is on 3.1.2, then you may be in luck.
Download
f0recast tool, and at the bottom it should say what firmware the connected iPhone is. Then we can decide your phones fate from there
@unskinnybob: That will NOT work. Apple stops signing older firmware, so unless you were previously jailbroken and on that firmware, with SHSH blobs saved by Cydia or on your PC, you will not be able to restore.
@SkinnyMike: read @unskinnybob above