Past polls have been marred by irregularities, and President Branko Crvenkovski urged a free and fair vote in a country struggling to ease tensions between majority Macedonian Slavs and an ethnic Albanian minority.
"We need a free and fair vote to elect parliament and a government to have full legitimacy and responsibility," Crvenkovski said after casting his ballot in downtown Skopje.
"I hope we will earn positive remarks from Brussels with these elections, which will enable Macedonia to continue its path toward EU and NATO," Crvenkovski said.
Macedonia hopes to join NATO in 2008 and the EU in 2012.
Parliament recently tightened voting rules and imposed severe penalties for ballot-rigging.
The tense electoral campaign has been marred by violence — including shoot outs and a grenade attack — between supporters of rival ethnic Albanian parties, wounding at least three people.
Ethnic Albanians make up about a quarter of the population in landlocked Macedonia, which gained independence in 1991 after the break up of Yugoslavia, avoiding the bloodshed that occurred in Croatia and Bosnia.
Opinion polls suggest a close race between Prime Minister Vlado Buckovski's governing center-left coalition and nationalist challenger Nikola Gruevski — each allied with opposing Albanian parties.
Some 1.7 million voters will choose between 2,700 candidates from 33 parties and coalitions vying for 120 seats in parliament. Some 500 international and 6,200 domestic observers are registered to monitor voting, after the U.S. and EU intervened to end campaign violence.
During Buckovski's premiership, the EU accepted Macedonia as membership candidate but has not set a date for accession talks.
The economy remains stagnant and unemployment at a crippling 36 percent.
"I hope for a better future," said Gafurr Halimi, a 45 year-old unemployed mechanic, who voted in the ethnic Albanian-dominated town of Tetovo. "Things are not good. There should be more reconstruction, more jobs."
The western town was dotted with blue and red flags of rival parties, slogans and banners
Frustrated by high unemployment, Arben Kamberi, 33, said he hoped for a change in government,
"It's a very tough situation," said Kamberi, who has an economics degree but cannot find a job. "University degrees are virtually useless."