What can I do with my locked iPhone?
To answer your questions:


I haven't tested it myself (but I'll in the near future), but there are SIM cards available, comparable to the Gravy SIM (but here is no need to dial 112), which will unlock your iPhone. It's not that expensive, so I would give it a try.
Sorry, it looks like this SIM only supports the iPhone 4S.
You can unlock the iPhone with any AT&amp;T card, no need for the original card. At least, that worked with my T-Mobile locked iPhone. So I would guess it's the same for your AT&amp;T locked iPhone.  


Do you know you have a return policy on eBay? And in a matter of fact, if you've paid with PayPal, you can set-up a conflict and ask for your money back... But this just for your information.