I think someone already said it, but Chasing Amy! The movie is all about exploring sexuality and they get to a point where a poly relationship was pretty much brought to the table and then they backed out of it. So disappointing! I really thought it would go that route, but it was still an okay movie.
Also even though it's a video game not a movie I think Rinoa, Squall and Seifer from Final Fantasy VIII would have made a great triad!