We've been getting trouble reports from users about their iPhone 4, especially around the antenna reception/dropped calls issue. There are smaller factory defects as well, and thankfully they're not as widespread, which means you can exchange your phone.
From what we've seen, these issues are fairly minor (not talking about antenna or screens), and are present in only a small number of phones. That means if you exchange them, you will have a high likelihood of getting a phone that doesn't have these problems. That's good! Here are the ones you should be on the lookout for.
• No SIM Card Installed: This is when you get a phone that has a SIM card inside, but get periodic "No SIM Card Installed" errors. Reader John says that he ejected his and saw a "pretty good scratch on the card."
A corollary to this error might be the iTunes message "There is a problem with the SIM card in your iPhone".
• Proximity Sensor doesn't detect your face: We've actually confirmed this ourselves on one or two of our own phones, accidentally dialing or hitting the mute button when in a call. We're not sure what the cause is, if the fact that they had to move the sensor from the original location to somewhere else to make room for the front camera, but it is acting up. [Everything iCafe]
• Faulty microphones/voice cancellation: Some people can't be heard unless they switch to speakerphone or an external microphone
• Volume buttons mixed up: Some users have the + where the - should be.
Besides the antenna issue, which seems to be a design decision by Apple whose problem manifests itself when you're in less-than-optimal reception areas, we are seeing some manufacturing defects that aren't present in every phone. That means you can get one without them, and chances are you can exchange your faulty phone for a new one.
So when you go to Apple/AT&T/Best Buy to exchange your phone, make sure they take it out and verify these issues before you leave the store. Make sure the volume buttons are in the right place, the screen doesn't display the yellow/white spots and you don't have any SIM errors (shake the phone a little in case it's loose or something). You should also make a call and put it up to your face to check the proximity sensor and microphone as well.
What you want to do is be polite—don't DEMAND that you get an exchange—but note that you're having these problems, and you've seen other people report the same problems, and you'd like to exchange your phone with one that does not have these issues. Good luck.