In the same places where you can buy a locked one (big stores, specialized shops,...). It is just somewhat more expensive.

Fernando

Perhaps it's cheaper to buy a locked one and then have it unlocked. Check how much is the difference between the same model of phone and how much it costs to unlock it.

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Actually, it is a bit different from that. Providing that you are in Spain, you never pay for the incoming calls.

If you happen to be, let's say, in Portugal with your Spanish phone, then you do pay for incoming calls because your cell phone is using the foreign network. Thus, your caller pays a normal call to a cell phone and you (the receiver) pay for the difference with the international call (I don't know exactly how much it is that).

By the way, receiving text messages abroad with a Spanish cell phone is also free.

Right you are Antonio! I should have clarified, I meant that you don't pay for the calls you receive while in Spain with your Spanish phone! :p
Thanks for clarifying that!

Wow, my head is spinning...but in a good way! Thank you so much everyone! This is all very very helpful! I will be so glad to say goodbye to my american cell phone and its super expensive fees! And if anyone will be selling their phone come January, please let me know!

To add another twist... If for (let's say) business reasons, you want your mobile phone to have a U.S. number but it must work in Spain, AT&T seems to be the route to go. It's pricey, though, for both the service and the tri-band phone. And it'll only work in the U.S. where GSM has been deployed... which is in less than half the states, and not all the served states are widely covered.