Driving 3-4v laser from 5v arduino
The best way is to use a dedicated laser driver IC such as the iC-WKL from Global Laser.
This will take care of the careful regulation needed. It expects a laser diode with an inbuilt  monitor diode for optical regulation.  

Other less ideal ways to drive them are:


A series resistor to limit current as you would with a normal LED - some more robust modern diodes can apparently be used like this quite successfully.  
A constant current setup.  


Laser diodes are usually very sensitive to variations in current/voltage (the lasing threshold is quite close to the maximum threshold so not a lot of room for error) so check your datasheet to see how much "play" you have.  

This page has some good info on laser diodes.