BCC Hardware has just finished playing with some 3-Way SLI (Tri-SLI as I like to call it) and have posted up some concrete gaming performance numbers for your viewing pleasure. This system was awesome to work with as it was stable, offered better performance than I thought it would and was easy to set up. The only downside is all the hardware that you'll have to buy to really enjoy this system. If you've got the cash, it's worth it though. Take a look at our review for all the details.
The truth is, 3-Way SLI is downright awesome though. To put three cards in a system, draw over 700W from the tower alone and play games at maximum detail at 2560x1600 is a wonder to behold. The platform is stable, has great driver support and was absolutely painless to setup. Really, there is nothing bad to say about it - other than price.