By three way link building, I am assuming you mean this:
A links to B, B links to C, C links to A
That used to work reasonably well back when reciprocal links started to lose their power, but Google has caught on to the concept.
Really link building in general is good because search engines, especially Google enjoy the concept of "Good Neighborhoods" and links pass on alot more than link popularity or PageRank. Esoteric concepts such as Trust and Authority are passed on through links as well.