Hmm I don't think so. I've never removed a screen protector before though.
One thing though, on the iPhone 4 don't use an anti-glare screen film because it makes the screen have a grainy effect. I had one on my 3GS (sold my 3GS) and it caused everything to be grainy. Like looking at sand. I'm not going to apply a screen protector on my iPhone 4.
Slightly off topic but yea.