there were reports of this behavior around when the phone first came out. I'd just try and get it exchanged.
or better yet, exchange it for an HTC inspire.
my first captivate had this issue so I got it exchanged for another one that hasn't had any real issues aside from the lack of samsung's transparency on the status of its updates. well, that and it's very noticeably sluggish at times. this can be attributed to the software and/or the file system. depends on who you ask.
honestly, I'd just try and get a phone from motorola or HTC if I were you. I tried the HTC inspire in an AT&T store yesterday and it was phenomenal compared to the captivate. I've read around that some say the HTC inspire stock is better than a rooted/rom'ed captivate.
read around here a bit, and you'll see that plenty of people are upset with samsung, I'm one of them. I've actually switched over to try windows phone 7 for a while because of my frustration and the updates coming out for it look promising, but it lacks the flexibility of the android platform. when my upgrade comes around again I'll re-evaluate, but right now I'd say I'll probably switch back to android unless WP7 sees some phenomenal updates before then.
sorry, I'll step off my soap box, haha.
in short: the symptoms you're experiencing have been reported before. try and exchange or return the phone. there's little or nothing you can do about it by yourself unfortunately :/
