Probably you (or a package) have disabled \clearpage (\let\clearpage\relax).
Do not do this, because \clearpage is needed. Apart from starting a new page it also forces LaTeX to output all pending floats. Thus \clearpage is automatically called at the start of \chapter and at the end of the document, for instance.
Thus if the figure is not yet output, \clearpage is disabled, and \end{document} is reached, then the figure "vanishes" and is not set in the document.
Frank Mittelbach has explained \include in this answer. If you do not want page breaks by \include, then use \input.
This problem is almost certainly caused by an incorrect bounding box in the eps file. One way to fix this is to rename your file to 'Fig3.ps' and in the terminal do
ps2eps --ignoreBB Fig3.ps
Alternatively, you can fix the bounding box yourself. Open the eps file in your favourite text editor. The second line will be something like
%%BoundingBox: A B C D
where A, B, C and D are numbers. In order, these set the left, lower, right and upper edges of the image. Changing these numbers will adjust the bounding box. For example, increasing A crops the left side. Set the numbers in the third line (HiResBoundingBox) to the same values, save the file and refresh it in your viewer to see the effect. A bit of trial and error usually does the trick.
Best Answer
I think there's a strategy that combines the best features of some of the other answers.
Select all the elements of your picture - as R. Schumacher suggests - and group them.
Go to save -> save as type - save as PDF (not save as Adobe PDF from the top save menu).
Under Options, check save selection.
Save and view.
You may want to use
pdfcropto remove whitespace before you include the figure in your document.pdfcropcomes with your TeX distribution.