Its normal , it goes off to reserve power.

 

There is a light sensor to the left of the HTC logo above the screen. It senses that you are holding the phone to your ear. If you have a finger close to it it will blank the screen even if the phone is in your hand (during calls).

 

Basically, when you put your phone to your ear, the phone goes blank. This is so you don't accidently click 'End Call' when holding it against your face (Since the phone is touch and all). So when you move the phone away from your face, the screen will come back on and you can click end call
Try it by ringing your house phone or something, and putting your finger along the HTC logo at the top of the phone

 

Unboxed this phone about an hour ago, my brother has just bought it. We are having exactly the same problem, tried the proximity sensor and if it is that its jammed on, any test apps ship with the desire? the *#*#1234#*#* (which works on my galaxy) doesnt work on the desire to check if its the prox sensor.

Did anyone figure out how to fix this? Or do we have a lemon?

 

If you are using a case or screen protector, make sure the sensor isnt covered!

 

I think this is an issue that was also discussed in this thread:

http://androidforums.com/htc-desire/65693-screen-goes-blank-calls.html

Not sure if a fix was found or not though, I just remembered reading about it before and did a quick search.

 

Phone is virgin out of box, no screen protector.
Have scanned that thread, no fixes on there that work, only suggestions
Fortunately he doesnt really use the 'phone' to call people :-D Which is kinda ironic but there you go.