A set A of natural numbers is finitely embeddable in another such set B if every finite subset of A has a rightward translate that is a subset of B. This notion of finite embeddability arose in combinatorial number theory, but in this paper we study it in its own right. We also study a related notion of finite embeddability of ultrafilters on the natural numbers. Among other results, we obtain connections between finite embeddability and the algebraic and topological structure of the Stone-Čech compactification of the discrete space of natural numbers. We also obtain connections with nonstandard models of arithmetic.