What are the major differences between Drush versions 3 & 4?
There's a lot of new user management stuff


user-add-role    Add a role to the specified user accounts.
user-block   Block the specified
user(s). user-cancel Cancel a user account with the specified name.
user-create  Create a user account with the specified name.
user-information Print information about the specified user(s).
user-login   Display a one time login link for the given user account (defaults to uid 1).
user-password    (Re)Set the password for the user account with the specified name.
user-remove-role Remove a role from the specified user accounts.
user-unblock Unblock the specified
user(s).


The cache clear functionality has become more fine grained
The backup folder for module updates now appears outside of webroot and you have greater control during updates over which modules to update (security updates only)

Check out http://docs.drush.org/ for more information.