If we accept that a 3d equivalent of the mandelbrot would want to be a conformal mapping that maps the 3d space onto itself, then we run into this:
http://en.wikipedia.org/wiki/Liouville's_theorem_(conformal_mappings)
It states that in 3d you can only generate conformal mappings out of scale, rotation, translation, reflection and sphere inversion which means replacing the magnitude of all vectors with r*r/magnitude for some r.
So a conformal mapping might be: invert, translate by (1,0,0), invert, scale by 2, rotate around y axis 90 degrees.
So that's the set we have, no doubling of angles, or squaring the magnitude.
My tests show that any combination of these produce completely smooth boundaries.. which would suggest there is no _direct_ 3d analogy of a mandelbrot.
But there are a couple of loose ends:
1. non-smooth transformations seem to allow more variation
2. Maybe if there are no helpful conformal mappings then 3d mandelbrot would be the single mapping that is closest to conformal.