iPhone 4 has a pentaband antenna/chipset (although the Apple specs page only lists four, the FCC lists five bands), meaning it works not only on the GSM frequencies the earlier iPhones did, but it also now supports 900 MHz UMTS/HSDPA. This increases the utility of the phone by a great deal for many international users, many of whom will now have access to extended 3G networks for the first time with iPhone 4.
The antenna in iPhone 4 also means it's now a true "world phone" -- with access to GSM 3G over different frequencies, iPhone 4 should be able to connect to virtually any GSM 3G network in the world now (with the notable exception of T-Mobile in the US).
It's also likely iPhone 4 will have much better wireless reception than earlier iPhones because of its construction. According to the keynote, the stainless steel side casing functions as part of iPhone 4's antenna.
via tuaw.com