Opinion polls suggest a close race between Prime Minister Vlado Buckovski's governing center-left coalition and challengers - in a country still troubled by ethnic tension. The campaign has been marred by violence between supporters of rival ethnic Albanian parties.
Macedonia hopes to join NATO in 2008 and the EU in 2012.
The 25-nation EU made Macedonia an official candidate for membership in December 2005 but has not set a date for accession talks.
More than two dozen violent incidents were reported in the run-up to the election, including grenade and machine gun attacks at a local party offices. No deaths were reported, but three people were wounded in a shootout.
The violence eased after calls for calm by the U.S. ambassador and EU's envoy to Macedonia.
Landlocked Macedonia, a nation of 2.1 million people, gained independence in 1991 with the breakup of the former Yugoslavia, avoiding the bloodshed that occurred in Croatia and Bosnia. Ethnic Albanians make up about a quarter of the population.
European Union and NATO officials have warned Macedonia that a free and fair vote on Wednesday is critical to the Balkan nation's hopes of joining their organizations. Local elections in March last year were marred by irregularities.