How to replace iPhone 4 front glass?
As with every "do it yourself" and "Apple", you have to be careful and know that it will possibly void your warranty. In any case, if you still decide to proceed with this, it is certainly possible to replace your iPhone 4's glass. There's a very nice tutorial with pictures at iFixit.

Installing iPhone 4 Front Panel Assembly


  "Replacing the display assembly will
  give you a new front glass panel,
  digitizer, and LCD. The LCD is adhered
  to the glass at the factory and the
  two parts are not separable without
  damage."