Well Duh!
Engineers at Apple should take a short course in RF antenna design.
Sure, if you put your fingers directly on the antenna (which happens to be the metal sides of the unit), you are going to change the effective length of the antenna, or worse yet, ground it out to your body, and the signal reception will drop into the "mud".
Perhaps this could be rectified by Apple by an easy fix, or maybe you will just have to start wearing insulated gloves to use the iPhone 4.
Since I don't own, and do not plan to own an iPhone 4, can someone else please do this test:
Put on a pair of gloves. Make sure that the gloves fully cover your fingers (don't use weight lifters gloves

)
Now hold the phone in exactly the same way you did without the gloves, and see whether the signal drops.
Oh, and surely try putting the iPhone into it's case.
Neither gloves nor the case will completely solve the antenna issue, since a lot of the energy is still going into or being blocked by your hand, but at least if you're not making physical (electrical) contact with the antenna element, the signal strength should improve.
Note that one can see the effect of antenna placement much more easily with your VHF walkie talkie (FRS radio, police radio, etc). I like to carry mine in my hand, not on my belt, simply because my body blocks a lot of the signal when the antenna is laying against my body (even though it is not contacting my skin).
As was said in that excellent antenna article (link posted by blen).
Unfortunately, cell phone signals are quite weak (and have to be to keep SAR down to acceptable levels), and having the phone in your hand is exacerbating the situation.
Maybe someone will come up with a cute little fix. Something to re-direct the antenna back to where it was in earlier models.
I read on CNN.com that Apple thinks this is a software problem. Huh?
I don't think so.
Good luck
KE2KB