One gets non-orientable closed 3-manifolds by taking a non-orientable surface, and crossing with $S^1$, such as $P^2\times S^1$.

In fact, the geometrization theorem hasn't been proven completely for non-orientable 3-manifolds. Of course, a 2-fold cover has a connect sum and geometric decomposition. But the problem is that no one has shown that this decomposition can be made equivariant with respect to the covering translation. One expects that a careful analysis of the proof using Ricci flow could be made equivariant (at least Ricci flow preserves symmetries).  One can't do the initial connect sum decomposition, because 1-sided projective planes must be cut along and coned off, resulting in an orbifold with isolated cone points.

In any case, I think that the most interesting non-orientable 3-manifold is the smallest known volume closed manifold, which has volume $2.0298...$, the same as the figure 8 complement, and fibers over the circle. This was discovered by Weeks in his census. I think it is known to be arithmetic.