I returned my iPhone yesterday because of this. I was constantly hanging up, activating facetime, or putting the call on hold when I held the phone between my face and shoulder (I do this often).
I made a call with my iPhone 4 to my friend's 3g and set them both on the table. I then lowered my extended finger closer and closer the each phone to see when the proximity sensor would activate. The 3g's kicked in when I was about 1" - 1 1/2" from the phone. The 4 would not activate until I was about 1cm from the phone.
Luckily, I have a friend who works for Apple so the swap went pretty well. When he first activated my phone we tested it and it did perform better. The sensor would kick-in at about 1" from the phone; an improvement, but still not as good as the 3g.
The problem is that I'm still losing calls so I'm going to wait to see if something can be corrected with the software. If not, I'm going to return this one too (I also appear to have a couple of dead pixels).
Btw, I'm sure it's been mentioned before, but I cannot recommend the bumper case enough. When I swapped my phone out yesterday the Apple store had tons of the black bumpers (only black were available). It makes the phone wider, more akin to the older models, which is much easier to hold IMO. It's easier to hold on to due to the rubber edge, it doesn't slide on surfaces, and gives you a bit of piece-of-mind that it can withstand a drop much better. The only drawback I've noticed is that it sticks to your pocket when inserting/removing. Not that big of a deal though.