Apple released an official comment on the issue this week, suggesting that users either need to adjust hand position on the phone, or buy a case (sales pitch - Apple's $29 bumpers) which prevents a hand from touching the exterior of the device.
"Gripping any mobile phone will result in some attenuation of its antenna performance, with certain places being worse than others depending on the placement of the antennas"
"This is a fact of life for every wireless phone. If you ever experience this on your iPhone 4, avoid gripping it in the lower left corner in a way that covers both sides of the black strip in the metal band, or simply use one of many available cases."
Some users have said they can recreate the issue by holding the iPhone 4 in their lefthand, by allowing their palm to cover the seam separating the iPhone 4's two perimeter radio antennas. The metal band around the outside of Apple's new handset has breaks in it to allow the antennas inside the device (cellular, BlueTooth, WiFi) to establish connections.
For some, covering, or even just touching the point where the two antennas meet can result in signal degradation and could cause a dropped call. It is believed that a person's skin can act as a conductive agent, bridging the space between the separate antennas.
The issue can be avoided when using Apple's official "bumper protective case" that covers the metal band around the outside of the iPhone 4.