Yup, very common. In fact, it's worse on the newer batteries. There's something of a trade-off between absolute capacity (mAh rating) and self-discharge rate for Ni-MH chemistries. Since Ni-MH batteries are sold mostly based upon the capacity figure, development has been driven in that direction at the expense of self-discharge for the stuff you normally see advertised and at retail.
It's possible to make the trade-off the other way. These are made and sold under various trade names with "Infinium" and "eneloop" being some of the more common. They have slightly (~10%, typically) lower capacity than the top-of-the-line batteries you normally see, and they cost a little more, but they'll hold most of their charge for weeks or even months. There's a
Wikipedia article that lists some of the common trade names for these.