The video speaks for itself. I held the iPhone 4 in my left hand, and when my skin comes into contact with the antenna, I lost two bars in a few seconds. My hand didn't change position, but I lifted up my hand to remove contact and those bars returned. I haven't tried this in a way that would confirm whether calls could be dropped, but Engadget is reporting it can happen.
Update: MacRumors theorizes that the problem is due to contact with the lower left-hand corner of the phone specifically. Check out their video demonstration here.