I have the same problem. My OverDrive gets a solid lock at almost full signal, and my Evo, sitting right next to it, won't lock onto 4G properly. It'll find the 4G network, connect, and then drop off almost instantly.
This is not down to differently calibrated signal displays, its down to an inability to hold the signal either as a result of issues in software or hardware.
When the Evo does connect and stay connected (and there are places that it will), then its pretty fast (usually faster than 3G, though I get very good 3G speeds).
However the hotspot function, regardless of whether the phone is on 3G or 4G, is terrible. The phone will pull say 4Mb/s directly but devices (and I've tried a bunch now, including various Dell and Toshiba laptops, as well as iPads/iPhones and so on) connected to the WiFi hot spot are seeing 200Kb/s to maybe 500Kb/s, with massively high latency and huge packet loss.
I can watch NetFlix on an iPad using the OverDrive on a 3G signal without any issues. It's a stop-start nightmare using the Evo's hotspot IF it works at all.
I think it is time for me to call this one done and return it. Talking to Sprint has been pointless, they just keep babbling on about 4G coverage limitations (clearly nothing to do with it). I am not getting stuck with the phone and a $200 ETF for something that does not work to a reasonable degree.
I'd be okay with the OverDrive performing better, but the Evo's wireless hotspot is so slow it's useless to me.