Count me in as someone who is having this same issue with my iPhone 4.
My 3G never had any problems at all. My wife is now using that 3G now and I reverted the phone back to running 3.1.3 due to the fact that iOS 4 severely slowed down the phone. I wish I'd checked to see if that phone had proximity sensor issues while it was running iOS 4.
So far, I have muted several calls, hung up on several more, and initiated a conference call with someone I haven't spoken to in years while I was in another call. This seems to happen pretty much exclusively when I cradle the phone between my face and my shoulder. I'm waiting out the 30-day return period and if this issue is not resolved to my satisfaction by then, I will be returning the phone.
I am left handed and I hold the phone with my left hand or cradle it on my left shoulder all the time. I am using an Incipio iPhone 4 case with the phone.
Steve Jobs is a successful businessman and a genius at marketing. However, he has no right to tell consumers what the "right" and "wrong" way to hold a phone are. Granted, he hasn't come out and told us that we're holding the phone the wrong way with regard to the proximity sensor (as he did regarding the antennas); but if he tells me I'm doing something wrong by cradling his company's phone on my shoulder, I'll take my business elsewhere -- simple as that.