If you're right handed you typically talk on the iPhone with the phone in your left hand. Doing this puts the lower left metal border of the iPhone4 in contact with your thumb muscles of your palm. When this contact occurs you can watch your signal strength go from Full bars 3G down to nothing (Searching....) When you let go and move your skin away from the lower left of the phone metal border the signal returns.
I have personally tried this experiment and performed the test and can confirm that it is indeed true. I was able to observe the signal drop and loss just like in the video.
Conveniently though, use of the new Apple "Bumpers" on the iPhone negates this effect by putting a layer of plastic and rubber between your skin and the metal iPhone4 border parts. Thus this leads one to the assumption that this is why Apple suddenly decided to enter the "case" market with Bumpers.
Come on Apple! This is the type of shit we routinely get and expect from Microsoft, not you.