I also encountered the problem. Sometimes I use therefore two minipages to put two figures beside each other, so not much vertical space is lost.
\documentclass{article}
\usepackage{caption}
\begin{document}
\begin{figure}
\begin{minipage}[b]{0.6\textwidth}
\centering
\rule{0.4\textwidth}{3cm}
\captionof{figure}{%
Lorem ipsum dolor sit amet, consectetuer adipiscing elit.
Ut purus elit, vestibulum ut, placerat ac, adipiscing vitae, felis.
Curabitur dictum gravida mauris. Nam arcu libero, nonummy eget, consectetuer id, vulputate a, magna.
}
\label{fig:a}
\end{minipage}\hfill
\begin{minipage}[b]{0.3\textwidth}
\centering
\rule{0.8\textwidth}{3cm}
\captionof{figure}{%
Lorem ipsum dolor sit amet, consectetuer adipiscing elit.
Ut purus elit, vestibulum ut, placerat ac, adipiscing vitae, felis.
}
\label{fig:b}
\end{minipage}
\end{figure}
\end{document}
