I've been upgrading a few systems from Fedora Core 3 to FC4. Sadly, it's not quite as straight forward as it ought to be.
The FC4 boot CD doesn't seem to detect existing installations that are on LVM volumes. This means you won't get an upgrade option, yet the disk partitioning tool shows all your partitions. Very odd (even more odd, "linux rescue" gets LVM volumes just fine!). I haven't been able to find a suitable solution to this problem.
I've played about with the "yum upgrade" method. This is essentially an online way to upgrade Fedora. It's a bit of a hack, but works pretty well (although totally unsupported, so not suitable unless you fancy hacking about a bit).
There are some instructions on how to do the upgrade. The basic idea is that you upgrade the files that identify your system as FC3 to FC4. Then, you just do an elaborate "up2date" on the system.
The Yum method isn't for those with low bandwidth, or little spare time. The first system I upgraded is a super cut-down system, with a minimum set of packages (and no windowing system). The download for it was 272MB in 354 files. It took quite a while, and left my broadband connection sweating a bit (especially as I'd just downloaded the four CDs too!).