The trouble with trilogies is that the first is so much better than the subsequent, exceptions being Star Wars (which were all bad) and Lord of the Rings (which were all good).
Honourable mention to BTTF, Bourne and Terminator.
Can i get away with Shaun of the Dead? (Followed by Hot Fuzz and World's End). There's at least one running gag that unites them as a trilogy. (Fence jumping).
All 3 are very funny, Simon Pegg excellent in everything he does.