What properties must an iPhone case have to avoid antenna issues?
A piece of non-conductive scotch tape is all that is required to prevent your skin from bridging the gap in the metal band and changing the impedance of the antennas.

As long as your skin doesn't short the external metal band, you are good to go, so even extremely thin gloves that are dry would work without any case whatsoever.

For more reading, see:


PC World: Apple Responds to iPhone 4 Antenna Problem 
Apple PR: Letter from Apple Regarding iPhone 4 
Apple Support: iPhone 4: Antenna or reception issues 
Antenna Engineer Blog: Apple iPhone 4 Antennas...