Rudegar is correct. You've got to have a headset that is A2DP capable. Now the good news, and this is not an advertisement. I have a Samsung H1700 that is an A2DP unit. It works GREAT with my 4S. I've never had a connection problem, I can leave my phone charging in the house and go into my front yard and use my phone. It has voice prompts, so when you go out of range it tells you. It also tells you when it connects to the iPhone. It's cheap, comfortable and looks professional. The charge lasts forever the way I use it... and I do use it. Another great unit that has never given me connection problems is the Jabra BT530. It also is an a2dp unit, but it's not as loud as the Samsung and I have a hearing loss so I need the Samsung.
I keep reading where folks have BT problems, but I've gone through a 3GS units and two 4S units (the first 4S had a serious battery issue, but no issue with bluetooth.
Hope this helps.