The race for Farrer in southern NSW could cost the Liberal Party a seat it has held for a quarter of a century.
And if the pundits are right, it may well go the way of Pauline Hanson's One Nation, whose candidate David Farley will pick up Liberal preferences.
If so, it would be the conservative populist party's first win in the lower house.
The most likely alternative, would be for independent Michelle Milthorpe to claim the prize.
Labor, meanwhile, didn't field a candidate.
Liberal leader Angus Taylor was alongside his party's pick Raissa Butkowski as she cast her vote at Lavington, near Albury, on Saturday morning.
"I'm going to be fighting till six o'clock tonight to make sure we do (win) and that's my focus today," Mr Taylor told reporters.
However he and everyone else who spent a final day on the hustings has downed tools.
Polling booths closed at 6pm and a show-and-tell ballot tip, marking the launch of counting, has been staged.
While Mr Farley and Ms Milthorpe have appeared close in the polls, preferences from coalition voters will give the One Nation candidate an edge, RedBridge pollster Tony Barry told AAP.
"With the coalition preferencing One Nation, they are the intuitive choice to win the seat."
If One Nation wins, it will show the party is a strong electoral force, particularly in regional areas, the former Liberal strategist said.
"If they cannibalise the Liberal and National Party vote as expected, then it's a very safe conclusion to say that we're going to see similar voting behaviours and patterns in other regional seats."
Farrer has been held by either the Liberal or National party since its inception in 1949 and by opposition leader Sussan Ley from 2001 until she was ousted by Mr Taylor in a February leadership spill.
"It's really important the people of Farrer have somebody who's going to fight, not only for now, but far into the future," Ms Butkowski said.
Mr Farley was mobbed by a press pack entering Albury Public School shortly after voting began at 8am.
"The nation's looking for change and Farrer's screaming out for change, so today is very, very important," he told reporters.
"I've got three clear jobs to do: I've got to win today, I've got to make sure we're ready for the next election and I want to help Pauline Hanson and her team build a powerful political party for Australia."
He and independent Ms Milthorpe appear neck-and-neck to take the seat but analysts believe preferences could get the conservatives over the line, while coalition candidates struggle.
Attending a voting centre in Jindera, Ms Milthorpe rejected criticism from opponents over funding received from Climate 200.
"It's just lazy rhetoric by parties who are scared and threatened by people who want to do things differently," she told reporters.
"At the end of the day, everyone needs to be funded for their campaigns.Â
"I'm open and transparent about where mine comes from and my positions are informed by the people of Farrer."
Ms Milthorpe said politicians didn't need to be negative or aggressive to get things done.
"You just need to be prepared to listen to and learn from people," she said.
Nationals leader Matt Canavan on Friday insisted other regional coalition seats were not at risk of falling to One Nation, arguing there were unique circumstances at play in Farrer.
"By-elections are always different ... it's a totally different race than normal," he said.
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