I'm sure everything has been covered, but I'll post my first impressions as well. Also, I've owned every iPhone since the original came out, so I'll try to compare if I can remember.
Out of the box, the phone felt great. My hands instantly got accustomed to holding the phone, and every time I held the old iPhone, it felt odd. It simply looks great too. My phone is typically in my back pocket, so thinness is king.
The thing is so snappy! It's lightyears ahead of the 2G and 3G, and considerably faster than the 3GS. No lag when multitasking or returning to the home screen, or launching apps, etc. The A4 processor is FAST. Coupled with the wireless-N protocol, browsing really flies now.
The retina display is so vivid, compared to the old iPhones. First thing I noticed was that the text/font looks so much different (and better) than the previous iPhones. Can't wait for more apps to be optimized for the screen. Nanosaur 2 has been optimized, and the 3-way gyro on the program makes it quite fun!
I had no reception issues out of the box. I live in an area where 3G coverage is great, so I didn't expect any problems. Since I bought the phone on a whim, I wasn't prepared with a case or skins for the phone so I left the original protector on the phone. The proximity sensor issue presented itself. My ear muted the phone once! I've since added a SGP Oleophobic skin on the front, which solved that issue. With the 4.01 update and the "fixed" signal display, I do notice the attenuation issue, when gripped very tightly. Still, to this day I've had no dropped calls or data performance issues.
The camera takes really, really good photos.
See here. The flash is super bright. First thing I did was download a flashlight app. No more using the screen as a flashlight! Facetime seems to work great. And after jailbreaking and installing 3G Unrestrictor, I can now Facetime over the network! I can't wait for more apps and phones to catch on with this. After all, it's open source.
Battery life is spot on! After work everyday, the iPhone is usually at ~80%, with some minimal use. Additionally, I work in the interior of a huge building, so my coverage is horrible. It's constantly switching between one bar and no service, thus using the battery. Still though, not bad! I typically watch some videos, surf the web, and play a game or two before going to bed. The iPhone usually remains at 40-50% before popping it into a charger for the night.
Overall, I'm highly impressed and glad I updated. I'm playing with the phone a lot more than before.