Earlier, it seemed as though that when grasped, the iPhone 4 had signal strength problems. Now, it appears to be nothing more than a nasty little bug within iOS 4.
The iPhone 4 doesn't just have an antenna problem, there are also issues with the proximity sensor and Apple will address those in the next iOS 4 update. For now, there are some unofficial fixes you can try.
Apple has released iOS 4.1 for the iPhone and iPod touch and it promises to do a bunch of things including fix the iPhone 4 proximity issues and improve the iPhone 3G's speed.
If you want to test your iPhone antenna reception very precisely, you can use the field test mode to do so. iPhone 4 owners, you probably want to check this out.
Attention iPhone 4 owners. In case you didn't get the newsflash over the weekend, a working jailbreak has finally been released for the iPhone 4 by the guys at dev-team. Enjoy.