No problems here
I have a 3GS 32GB and can't replicate the problem. As well, my new 32GB iPhone 4 arrived today, and I've tested in several locations in my home, several times, both hands, etc... no signal loss.
I can lay it on the table and occasionally I'll see a bar drop here and there and return.. sometimes dropping to two bars, then back up.. all without touching it. Same is true while in hand regardless of touching sides, top, etc.
When mass producing anything you are going to have small differences, problems, etc.. as well, as other posters have commented, signal strength in some areas might be an issue..
I'm a computer scientist, but not an electrical engineer.. so I can't answer whether or not the antenna can be hindered by touch.. but seems to me Apple with it's trillions in R&D would make sure to cover that base... now small imperfections at the factory.. out of anyones control.. I'd say return it and get a new unit.. see if the problem continues. And as others have said.. test in various locations. My bet is, either small problems with a few units out of the millions they are pumping out to meet the demand, combined with lower signal strength from AT&T..