I'm using the PowerSupport HD anti-glare film. It's kind of expensive and you do lose a
bit of clarity on the display. The quality of materials, perfect fit, and zero fingerprints make up for that, IMHO.
I got the front and back set and couldn't be happier. The set came with a "crystal" film for the front but I prefer the HD anti-glare.
Now I just hope my free bumper comes soon so I can show off the phone's beauty.
http://www.powersupportusa.com/accessories/iphone-4/front-and-back-film-set.html