Everyone seems to talk about attenuation and the somewhat more informed relate this to capacitance. This is, indeed, the type of attenuation you get in any device. However, this is the attenuation you'll, no doubt, get from holding the iPhone 4 at all. Also, this is the kind of attenuation that will cause less then a bar of signal deterioration.
No one seems to be talking about the fact that the signal drops significantly (according to the measurements performed by Consumer Reports) when touching both antennae at the same time. This makes me think it's probably not just a capacitance problem, but rather a conductance problem between the two antennae. Either the (2.4GHz) wifi (et al) front-end interferes "through" the antennae with the UMTS front-end (and possibly vice-versa), or the altered shape/size of the "combined" antenna is just wrong for UMTS.
This would also explain why some people don't have signal issues when holding their phones; not everyone's fingers conduct as well. There are demonstrations of a metal key being placed on the gap, where signal strength drops invariably.