Every version of the iPhone has its idiosyncrasies, but the most recent incarnation tops them all. "
You're holding it wrong" has essentially been Cupertino's answer to those customers experiencing lost reception and dropped calls. The only consistent workaround, it seems, is to use an iPhone case, which prevents you from touching the phone in all the wrong places, and thus from losing reception. (Apple should have included its Bumper case with the phone, rather than charge $30 for a few scraps of plastic, but so it is.) The iPhone 4 more or less demands a case, and here are some of the best on the market today.
Apple Bumper
iFrogz Luxe Original
Speck GeoMetric

Grove Bamboo
Griffin Reveal
United SGP Leather Pouch Vintage Edition for iPhone 4
Case-Mate Artist Series
iPhone 4 StealthArmor
Ballistic HC