I'm currently in The Vampire Diaries, where Katherine (a flashback character so far) canonically has relationships with the brothers Stefan and Damon at the same time. And while Stefan was mind-mojoed, Damon was definitely very okay with this. So the threesome isn't canon, but Katherine totally would have talked them into it at some point, even if it didn't happen then. I generally don't ship incest, but the whole vampire thing generally feels kind of incestuous anyways, and Stefan is the only person I'm 100% certain that Damon wouldn't kill... And currently Stefan dates Elena, Damon hits on her, and occasionally refers to her as "our girlfriend". I mean. Really. Damon/Bonnie/Stefan intrigues me as well, for reasons involving snark and closer power levels and neat relationships. ...now that I think of it, Elena/Stefan/Bonnie could be neat too.

It is a strangely shippable show.

For the Buffyverse, Angelus/Darla/Drusilla and Angelus/Drusilla/Spike are interesting in a horrific sort of way, and basically canon. Angel/Darla/Lindsey has potential. I know some people ship Angel/Cordelia/Doyle and Wesley/Fred/Gunn, though I don't really (and I ship Fred with both Wesley and Gunn!). Basically, the Buffyverse has so many romantic relationships, breakups, friendships, betrayal, etc., that it lends itself well to threesomes.

...I swear I ship non-vampire threesomes, these are just the ones that came to mind. Uh. Criminal Minds has Prentiss/Reid/Morgan, though I tend to see the show as more friendship-based.