Hamilton's Mercedes was 0.264 seconds quicker than Vettel, with Rosberg 0.035secs further adrift.
Williams's Valtteri Bottas and Felipe Massa and Pastor Maldonado's Lotus left Ferrari's Kimi Raikkonen in seventh.
Media playback is not supported on this device
McLaren's Fernando Alonso and Jenson Button were in unexpectedly high 13th and 14th places as others struggled.
Like McLaren, Red Bull and Toro Rosso will take penalties for using more than their permitted number of engines and it remains to be seen in which order these will leave the six drivers at the back of the grid.
Qualifying gets under way at 13:00 BST, with coverage on the BBC Sport website from 11:30 and on BBC Radio 5 live from 13:00.
There seems little doubt about who will be at the front after another imperious performance from Hamilton.
The world champion has looked untouchable so far this weekend and seems an almost certain bet for his 11th pole in 12 races this season.
Media playback is not supported on this device
After Friday practice, Rosberg admitted his team-mate had the edge and that he needed to work out how to match the Briton's pace through the final two corners at Ascari and Parabolica.
The German actually set the fastest time in the final part of the lap, which comprises the two demanding fast corners, but Hamilton edged him this time in the two chicanes and the Lesmo corners and remained tantalisingly out of reach.
Instead, Rosberg was surprisingly beaten by his compatriot Vettel, who showed an improvement in form after a difficult Friday as Ferrari chairman Sergio Marchionne was joined by Piero Ferrari - the son of founder Enzo - watching from the Ferrari garage.
Whether the red cars can maintain that pace once Mercedes turn up their engines for qualifying remains a different question.
Ferrari face stiff opposition from the Mercedes customer teams - Force India, Williams and Lotus for places behind the world champions at the front of the grid.
The prospects for two grand former champions, Red Bull and McLaren, are rather grimmer.
Both teams have engine partners in Renault and Honda who are failing in their struggle to match Mercedes, falling short in both reliability and performance.
Media playback is not supported on this device
And both - as well as fellow Renault customer Toro Rosso, the Red Bull junior team - are taking penalties for changing engine parts.
Red Bull's Daniel Ricciardo was using a brand new engine that would add to the 25 grid positions worth of penalties he had already accrued, but that failed in the course of the session, team boss Christian Horner saying the problem was "terminal".
Earlier, Horner attempted to make a joke of the situation, saying the competition for who can take the most penalties was closer than that at the front of the grid.
Renault denied Horner's claim that a development engine might not appear this year. Horner said if it did appear it would be worth only 0.15secs a lap.
The French company is understood to be in the final stages of completing a deal to back control of the Lotus team, which it sold to investment group Genii Capital in 2009.
Practice results
Italian Grand Prix coverage
Lewis Hamilton set the pace in final Italian Grand Prix practice as team-mate Nico Rosberg was pipped by Ferrari's Sebastian Vettel.