Do you have to have ATT data plan with iPhone?

No you can (maybe) just buy the iphone for some extra money and set it up with another company, however it may require you to jailbreak (or hack) the iphone. AnswerYes, AT&T is currently the only wireless service that supports the iphone.

(Improved Answer)

If you want to buy an iphone without an AT&T plan, you have to pay an extra $400 and you can't even use it because you have to have a valid AT&T SIM to activate it. You can get passed the activation process by a thing called hacktivation.