The update works with iPhone 3G, 3GS, and 4. To install, simply sync your iPhone to iTunes and click the Update button on the Summary tab for your device. The download took about 7 minutes on my broadband connection, with further time required for the installation. TUAW will be posting further information about the efficacy of the update as soon as possible.
Update - After installing 4.0.1 on my iPhone 4, this blogger saw his maximum signal strength at his location peak at 4 bars, as opposed to 5 bars previously. Applying the "grip of death," the signal strength dropped to 1 bar but a call to a fellow blogger never dropped. Further tests coming.