I've had to return 2 Cappys to the AT&T center in Thornton, Colorado (near Denver).
First time was after about 5 calls to 611 for my wife's captivate that was getting random shutdowns (both our phones were in the first batch that has this problem the most). The drive to the center sorta sucked, since we live 90min away, but in the end it took FAR less time to deal with the Service Center than with 611.
The second time was for my phone, which started doing shutdowns about a month later. I didn't even bother with 611. I walked into the center, told them the issue, they were aware of the press release regarding the problems. 10 minutes later I walked out with a new (not refurb, unless the refurb was less than a month old based on the manufacture date) captivate. No hassle, very professional.
Honestly, it was the ONE thing that has pleased me with regards to the problems I've had with this phone. And lucky for me my GPS locks pretty strong with the stock firmware now (my old Captivate would take 5 minutes to get a 60 meter lock, this one takes under 15 seconds to get a 15-25m lock).