I suppose it depends if you want to use your iPhone on the network of your choice or stick with the one it's locked to.
Hey, I kind of thought that was the whole point of unlocking but you don't seem convinced.
Yes you're running the risk of never being able to connect to iTunes and upgrading your firmware but if you rely on an unlock, you'd never upgrade your firmware anyway.
All depends how desperate you are to use your iPhone as a phone or just sit and look at it as an iPod.
The risks are well known, only you can decide if it's worth doing it.