Your IMEI number is a 15-digit number unique to your handset.
You can find your IMEI number in the Settings > General > About screen, or by dialling *#06#.
If your iPhone isn't yet activated, there will be a little 'i' icon which you can press to get your IMEI.
If you cannot access this screen and you have an iPhone 4 or 4S then simply eject the sim tray on your iPhone.
The IMEI will be printed on the sim tray - but please be aware that sim trays are sometimes switched.
If you have an iPhone 5, 5C, 5S, 6, 6S or SE the IMEI will be printed on the back of the iPhone itself.