Can I install non-market apps on my AT&T phone directly (without a PC)?
Turns out I was right to suspect that this has been done before. The fix I was looking for was  Super One Click. It has a fix to allow non market apps. I think what it does is to change the config file that the settings dialog ("Allow Non Market Apps") normally sets. My guess its that AT&amp;T just took out the UI for the option.

Anyway, works perfectly and I strongly recommend it for anybody stuck under AT&amp;T'S thumb!