Gripping any mobile phone will result in some attenuation of its antenna performance, with certain places being worse than others depending on the placement of the antennas. This is a fact of life for every wireless phone. If you ever experience this on your iPhone 4, avoid gripping it in the lower left corner in a way that covers both sides of the black strip in the metal band, or simply use one of many available cases.

From my day of testing, I've determined that the iPhone 4 performs much better than the 3GS in situations where signal is very low, at -113 dBm (1 bar). Previously, dropping this low all but guaranteed that calls would drop, fail to be placed, and data would no longer be transacted at all. I can honestly say that I've never held onto so many calls and data simultaneously on 1 bar at -113 dBm as I have with the iPhone 4, so it's readily apparent that the new baseband hardware is much more sensitive compared to what was in the 3GS. The difference is that reception is massively better on the iPhone 4 in actual use.
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There's no doubt in my mind this iPhone gets the best cellular reception yet, even though measured signal is lower than the 3GS.
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But what about WiFi? Surely since the UMTS/GSM antenna interferes with it, the WiFi signal has changed as well. It has, though not how one would expect. Holding the phone with no case actually improves WiFi signal strength by a measurable 5 to 10 dB.