I had not noticed this problem myself, but I was able to reproduce it. Here it is, in pictures.
iPhone 4 on desk. Five AT&T bars (top left corner).
A few seconds later, I picked up the phone and held it in my left hand as anyone who uses his right hand to type would. Looky here-- down to three bars!
A few seconds later and I'm down to 2 bars.
Then I put the iPhone 4 back into the cheap-o silicone case that used to hold my iPhone 3GS and my bars shot up to 5.
So-- independent research shows that indeed this "fewer bars when holding the iPhone" phenomenon does indeed occur. Maybe, just maybe, putting the antenna on the outside of the iPhone, right where a person would naturally hold it, wasn't the best idea ever. But, as demonstrated here at Boyce Labs, we have two ways to get a 5-bar signal. One of the ways (leave the iPhone 4 on the desk) isn't practical. The other way (put the iPhone 4 in a case) is super-practical, and since there's a case for every taste, I say "get a case and put this problem behind you."
That would be the end of it, except for one thing: Apple's written a very interesting letter (click here to see it) that attempts to explain it all away. I say "very interesting" because while one might expect Apple to say "sorry about the bars, we're going to give away free cheap-o cases for all iPhone 4 users and solve this problem for you" they instead said (paraphrased) "Yes there's a problem, but it's not what you think. You had lousy signal strength the whole time, and we made a boo-boo in how we calculate the number of bars when it sits on your desk. You think you have 5 bars but you don't."
Hmm. Like I said, very interesting.
How can it be that they've made a mistake in their bar calculation "all along" (that's what the letter says), but the mistake only shows up when you hold your iPhone 4 in your hand? And how can it be that they expect me to be happy with a phone that gets 2 bars out of five while in my apartment? I think what they're telling us is that they're going to change the formula to "more accurately reflect" the signal strength... but that means that even with a case on, my iPhone 4 is going to show 2 bars. That's a different problem, and according to Apple it's all AT&T's to fix. Too bad, because I have more confidence in Apple's ability to fix a problem than in AT&T's.