To try this, make sure you have fastboot installed. It's part of the Android SDK so if you don't have it, install it. Alternatively, it's also included in the application PDANet
Hold the search-key on your xperia play and connect the USB cable. The LED should switch on in blue. If you computer complaints that it can't find drivers for the device install the "Android Bootloader Interface" Driver that you can also download with the Android SDK.
Now type in "fastboot devices". If you can see a Hexanumeric code there, like in my screenshot, the boot loader is unlockable.
fastboot oem unlock sadly doesn't work. That would've been the day. :P Still, it seems it expects a code and no code is "0xFFFFFFFFFFFFFFFF" Maybe someone clever can find out how to calculate an unlock code from the Imei? :P Anyway, have fun with that for now.