They can also notify their carrier (if they haven't already) and the phone becomes useless. Even if you unlock it, it not only won't connect to the tower (of any carrier), it'll notify their security department where it is - and you'll be charged with possession of stolen property at the very least.
Bring it to a company store (not an independent) of whatever carrier it's on, tell them you found the phone, it's locked so you can't contact the owner (the contact information really should be on the lock screen - mine says "If found, please call xxx-xxx-xxxx"), and they'll look it up and let the owner know that some nice person returned your phone. The owner may even want to pay you something as a reward. And you'll be an honest person - something no one can take from you.