import fbx error - Out of memory

Some things to try:

Check how much memory you have on your system, and how much is available when you try to import.

Try closing other programs that are running. Try importing only this file if you're trying to import a bunch at once.

Try splitting your fbx file into smaller files and then combining them once they're imported.

Try upgrading to Unity 3.5b06 (http://unity3d.com/unity/preview/download) to see if that solves the issue - 3.5b06's release notes state that it has changed the import to split up meshes automatically, so there's an outside chance that would fix it.

If none of that works, send a bug report to Unity.