You know, I think I am having the same problem too. I tried to set up Aol Instant Messenger to forward IMs to my phone, but when it tries to send me a text message, I never get it.
Last night I tried to register my phone with Facebook and again, it tried to send me a text but I never got it.
I just ported my number over from Sprint to my iPhone, and when I enter my number in Facebook and select AT&T as my carrier, it still saves the number as "Sprint".
Did you do a similar port?