Every electronics device has their percentage of lemons. I too have had zero issues with my Captivate, which as it happens was given to me by Warranty Repair after going through three Tilt 2's due to poor Bluetooth radio sync with my car. And yeah, I am super happy about the swap.
I understand the frustration for those going through the same thing, and I also understand how it can turn you off to that brand... for example, why would I have chosen another HTC device, even if an Android OS, when I am pretty sure it was the combination of the bluetooth chip in HTC phones (or at least the one in the Tilt 2) and my car. However, in this case you may have gotten a bum Captivate... it happens.
But the phone is still a great choice on ATT. I would do it again. If you think it is something in your "environment", then another model (after trying three times in Warranty Repair) might be in order. But if it is just the one device being a pain... give another one a try (if you get that far with the process, which had me angry as well). But anger aside, there is no way a carrier is going to swap out $500 phones without trying to fix it, when the phone is under manufacturer warranty and you are under contract. I was a little disappointed by how much I had to explain each time, but it worked out in the end. Keep your head up.