You can construct a Klein bottle using a rectangle with two edges with the same orientation and two edges with opposite orientation (K^2 is a good notation for this). Naturally identifying the same orientation edges gets you a cylinder. When you identify the remaining two edges in R^3 you have the classic Klein bottle we're familiar with. But there is no embedding of K^2 into R^3, but there is for R^4. This is intuitive because the map from K^2 to R^3 is not one-to-one because two circles of K^2 have the same imagine circle in R^3.

You can also look at it from the Möbius strip perspective, the Möbius strip being a twisted product (in contrast to the annulus being just the product) of S^1 x R^1, in which case some of the work is already done for you.