The radios don't come locked from the factory, the only time the radio needs to be taken into the dealer to get unlocked is when somebody programmed a code into the radio and then forgot what it was.
When I needed a radio unlocked (because the guy I bought it from didn't know what the code was), the local Pontiac dealer did it for free. It probably just depends whether you're a regular customer and how hard-assed they are about it.
BTW, GM doesn't use this kind of radio lockout system anymore - the radios now connect into the vehicle data bus and when they power up, check the VIN of the vehicle against the VIN they're programmed for, and if it doesn't match they won't activate. Therefore it's not possible to lock oneself out of the radio by accident with that system.