A similar situation happened to me just recently!
You should be able to cancel your order with at&t, just make sure you call the 1-800 number if you ordered online, or you go to the retail store if you ordered in-store. Neither one can look-up the other's orders, so you have to go to where you ordered it from. It's stupid, really. While you are cancelling it, make sure they HAVE NOT USED YOUR UPGRADE. This is where I got messed up. My order from at&t was cancelled (by them, not by me) about a month ago, then when I ordered through apple and went to pick up, I couldn't buy it because they said I didn't have upgrade eligibility. Even though I never actually received a phone, at&t's records indicated I had used my upgrade. This was fixed, but not easily. It took about an hour of the manager calling in and trying to have someone reverse it.
So, moral of the story is go to at&t FIRST. When cancelling, CONFIRM THAT YOU STILL HAVE AN UPGRADE, then high-tail it to Apple because those iphone reservations are only held for a day!
Hope that helps, good luck!
