The radio is locked, how do I unlock it?

Without having the code there is no way for the radio to be unlocked without visiting a dealer. They will use their connection to GM to enter in the radio's code number and then their dealer code and get the correct unlock code for that unit. Be advised that if this unit isn't the original one for the car it may need to be programmed to the VIN of the car it is now in.
Depending on what radio you have there are a couple ways to get the 6-digit code used in the unlock process. In the earlier version you press and hold the 1 and 2 buttons down when you turn on the radio, which gets you 3 numbers. Then you press the AM/FM button to get the other three. On the later units with 4 button presets you hold 2 and 3 instead, if yours has 6 preset buttons you hold 1 and 4. Once you have the 6 digit code, call the local dealer or stop by, usually it's free or about 10 bucks to have them call in and get the code.
Now if the radio is an RDS model (it will say RDS on the faceplate) this process doesn't work, on those you have to use a scan tool to go in and unlock the radio by resetting the VIN coding in the radio.