If you've just put the Apple Watch on your wrist and it won't unlock your Mac, don't worry. It will soon.
Apple Watch and 2013 and newer Macs work together to keep everything on your computer secure thanks to Auto Unlock. If you've just got an Apple Watch Series 3 and it's not working to unlock your Mac, don't worry. It's not because the latest and greatest Apple Watch doesn't support Auto Unlock. It's because your Mac doesn't (yet) support the Apple Watch Series 3.
But it will in macOS High Sierra.
The Series 3 uses a newly designed W2 wireless chip, which makes wi-fi and Bluetooth faster and more efficient. The Mac needs to catch up with this technology (in software, that is).
At the moment, the W2 chip is not supported in macOS Sierra. On Monday, when macOS High Sierra launches to the public, it will include an update to support the W2 chip for Series 3 Apple Watch and you'll be back to unlocking your Mac in no time at all.
We don't have any official information right now about when a security update will be added to macOS Sierra and older operating systems, but it's likely Apple is working on a fix so you won't have to update to High Sierra in order to continue to use your Apple Watch to unlock your Mac.
So, hold tight. It'll just be a couple more days and you'll be using Auto Unlock with your Series 3 Apple Watch and Mac again.