What is an 'unlocked' phone? (And why do I care?)
The bootloader on your phone came locked from the factory. This is a good thing, because having a bootloader that's not locked will allow modification to the software, and is not secure at all. But the ability to modify the software on our phones is precisely why many of us want an unlocked bootloader.
Here's where things get a little dicey. We've seen that most manufacturers are OK with allowing you to unlock the bootloader (using a token or key they supply) as long as you're OK with potentially voiding your warranty. This is a good thing. This is what freedom smells like and all that. Seriously, once we've paid for a phone it should be ours to break as we like.
The people who own and operate the network that your phone runs on (this is mostly a U.S. thing) feel differently. They want to decide exactly what software is running on the phones and tablets that use their network. And that's their right. Besides potential issues custom software could create on the network itself, they have customer service and warranty concerns to manage. It's their network, and they get to try and decide (for the most part) what can be running on it. The way they (try) to make this happen is by offering their own version of a phone that can't be easily bootloader unlocked.