You can't "just" unlock it. Unlocking is risky: it voids your warranty, makes the process of updating your OS difficult or impossible, and has a very real chance of bricking your phone.
Unlocking does not void your warrantee. I've had many unlocked iPhones replaced under warrantee. That said, if you brick it while unlocking (and the 4S tools are very new), you won't be covered.
Perhaps your local Apple Store doesn't check for unlocks before warranty replacement, but unauthorized unlocking absolutely voids your warranty in principle and Apple would be well within their rights to refuse service. If you don't believe me here's the relevant section of the warranty (written by Apple in bold):
"This warranty does not apply: [...] to an Apple Product that has been modified to alter functionality or capability without the written permission of Apple".
(For what it's worth, while software unlocking is usually not a huge or dangerous affair, there is not currently a software unlock for any iPhone beyond the iPhone 3G.)
Even though the 4S is supposedly a GSM/CDMA combined phone, its still locked to individual carriers, unless you happened to buy the unlocked version at nearly $800 USD.
