If you enable bluetooth and make it visible on your phone before you power up your N800 for the first time the N800 will detect the phone and ask you if you want to pair it (make them authorized to each other) during the first-time configuration process.

Things are proably a bit more complicated in the US but in Europe the above is usually sufficient to let you go online through whatever mechanism the phone provides (GPRS, EDGE, 3G), without any data plan (you want a data plan to cut costs in case phone networking is used for a lot of data). In the US there are often more restrictions built in to the provider-sold phones, if I've understood it correctly. But in any case it doesn't harm to get that phone pairing done right away during first-time config, it's more work to search for and wade through config menues later.