Not just the iphone4
I got an iphone 3GS and sent it back for exactly this reason (having visited an apple store and swopped it just in case it was just mine that was duf), losing two or 3 bars when you pick the device up, same when I tested a mates 3G. Vodas answer was a sure signal, which is no answer as you then have a non mobile mobile, and can't max out your broadband.
A quick google search will confirm many similar cases, vodafone know about it and will admit it in the end, apple turn a deaf ear but are 'looking at it'.
Losing 2 bars when you only have 2 or 3 means its useless, phone rings, pick up, hello, hmm no signal.
Was hoping the new design fixed this issue. I guess they never do real world testing or only do it in full signal areas.
Not just iphones either!