What exactly is an “unlocked” phone?

JJ asked:

I bought an “unlocked” phone off of eBay and I really don’t get what I am supposed to do. Is there a special SIM card that I need to buy for the carrier that I want to go with? Its a GSM phone and it can be compatible with these carriers: Fido, Rogers Wireless, AT&T, Cingular, SunCom, T-Mobile…..What do I need to do to use this phone and what carrier should I go with? Any help would be appreciated.
Thanks Art…Ok so I got that much but what about sim cards and which carrier do you recommend?

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