For my iPhone 3G, I used a Power Support Anti-Glare Film Set. One of my favorite things about it was how it let your finger slide across the screen with way less friction than the original screen does.
Even when my iPhone 4 was brand new, it never had the same glide to it that my iPhone 3G had with the Power Support film. I almost never had to wipe the film on my 3G to retain that frictionless feeling (it was just always there), but with my iPhone 4 (with no film) there are many times where I would need to wipe the screen to eliminate some of the friction, only to have it return after a few minutes of use.
So if you are looking for a way to make your finger glide across the screen, I would definitely recommend using a screen protector. Although, I haven't tried any for the iPhone 4/4S, so I can't recommend any specifically.