I've had GSM phones for almost 10 years now, and they will all do this.
HOWEVER, the iPhone is FAR worse than any other one I've used before. Much louder than other phones, even at a few feet away.
My guess is that the iPhone uses a notch or two higher RF output than what would normally be called for. Or it's WiFi?? Either way, it is distracting.
On the other hand, the reception, voice quality are better on iPhone than others. My friend with AT&T had a Treo and a RAZR that would drop out contantly and ALWAYS drop the call at a certain location... now, voice does not drop out except in that 1 location, but it doesn't drop the call, at least!
Aaron