S.D.
We're going through this with our *almost* 4 year old. Same schedule, too. So, what has worked with us is first, we offered to read him 5 books the night after he slept in his bed all night. If he didn't sleep in his bed, we'd read him 2 books. This motivated him to not want to sleep in my bed, but for that week he continued to come into our room at 3; he just stopped climbing in bed with us. This week, we've told him that he only gets the 5 books if he sleeps in his bed the full night ALONE. The past two nights this has worked okay. Last night he complained about fear of his room, but we gave him a pile of stuffed animals and turned on a nightlight at 3AM, and he was okay. (There was some crying, but the books were highly motivating for him :)) Each morning he has been popping out of bed asking, "mom, how many books do I get tonight?"
To be honest, I was really shocked that my son took the new rules in stride. About the room fears - I read a book by some behavior guru that said we should have a discussion with our son - make a list of things we can do to his room to make it less scary. I thought that was a load of hooey, but it has actually worked well for me.
A side effect - I've been using the 5 book bribe for other general behavior modification with great success. Works great to get my son to calm down in the grocery store... He'll do anything to keep from losing one of his 5 books.