This is one of those updated features in AutoCAD 2012 that people may not be aware of. You can import several non-Autodesk 3D formats into AutoCAD 2012 including .3DM files from Rhino.

Command line: IMPORT
Ribbon: Insert tab  > Import panel > Import
Menu: File > Import

Here are the formats the IMPORT command will import:

• 3D Studio (*.3ds): 3D Studio files
• ACIS (*.sat): ACIS solid object files
• CATIA V4 (*.model; *.session; *.exp; *.dlv3): CATIA^® V4 model, session and export files
• CATIA V5 (*.CATPart; *.CATProduct): CATIA^® V5 part and assembly files
• FBX files (*.fbx): Autodesk^® FBX files
• IGES (*.igs; *.iges): IGES files
• JT (*.jt): JT files
• Metafile (*.wmf): Microsoft Windows^® Metafile
• MicroStation DGN (*.dgn): MicroStation DGN files
• Parasolid binary (*.x_b): Parasolid binary files
• Parasolid text (*.x_t): Parasolid text files
• Pro/ENGINEER (*.prt*; *.asm*): Pro/ENGINEER^® part and assembly files
• Pro/ENGINEER Granite (*.g): granite files generated by Pro/ENGINEER
• Pro/ENGINEER Neutral (*.neu): granite neutral files generated by Pro/ENGINEER
• Rhino (*.3dm): Rhinoceros^® model files
• SolidWorks (*.prt; *.sldprt; *.asm; *.sldasm): SolidWorks^® part and assembly files
• STEP (*.ste; *.stp; *.step): STEP files