For general 3-manifolds this problem is fairly wide-open. But for some specific families of 3-manifolds it is heavily investigated.
There are two common embedding constructions: (1) obtain your 3-manifold as 0-surgery on a link which is the disjoint union of two smooth slice links. (2) Obtain your 3-manifold as the boundary of a Mazur manifold -- where Mazur manifold is taken to be a contractible 4-manifold constructed as union a 2-handle. In both cases the resulting 3-manifold M embeds smoothly in . There are many other embedding constructions but no known "uniform" construction that works for all embeddable 3-manifolds.
Since such a 3-manifold would bound two 4-manifolds on either side, the embedding problem is a type of double cobordism problem, and related to issues such as the problem of determining which homology 3-spheres bound homology 4-balls.
The smoothness in the assumption is important. Mike Freedman has proven all homology 3-spheres admit tame topological embeddings into . These embeddings have a less combinatorial nature than smooth embeddings so it is somewhat natural to restrict to the question of smooth embeddings. For example, the Poincare Homology Sphere does not embed smoothly in , since it has a non-trivial Rochlin invariant.
Bibliography
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[FS] R.~Fintushel, R.~Stern, Rational homology cobordisms of spherical space forms, Topology, {\bf 26} no. 3 pp. 385--393, (1987).
[GL] P.M.~Gilmer, C.~Livingston, On embedding 3-manifolds in 4-space, Topology, {\bf 22}, no. 3, pp. 241--252 (1983).
*[K] Kirby, R. Problem list in low-dimensional topology. [http://math.berkeley.edu/~kirby/problems.ps.gz]
[L] R.A.~Litherland, Deforming twist-spun knots, Trans. Amer. Math. Soc. {\bf 250} (1979), 311--331.
* indicates original appearance(s) of problem.