Has anyone here ever sent back a phone under the warranty and got a new one, and they found something on your phone to void the warranty? What happened? I'm not sure what voids the warranty....

Sure, this isn't uncommon.
Most likely the moisture indicator showed that the device got wet. If that's the case, then the warranty is immediately voided.

So do they just send your old phone back and you send them back the new one?

I guess it depends who "they" are.
With AT&T, they'll likely send you a bill for the full price of the new phone you received.
Probably best to call them.

I believe most of "them" read a script to you when you do the warranty exchange that will tell you what happens if the warranty is found to be voided. I have never hear of anyone receiving the old phone back in this case but always that the user had to pay an out-of-warranty fee that varies by carrier and phone.

In other words, if you believe that your warranty is no longer good because you got the phone wet or dropped it or something and you think you'll be send it in to see if you can get it through anyway -- you will pay. No backing out once you start the exchange.