L'Eclisse (L'Avvenutra; La Notte; L'Eclisse)
Ashes and Diamonds (Generation; Kanal; Ashes and Diamonds)
Good, Bad, and the Ugly (Dollars Trilogy)
Human Condition 3 (Human Condition Trilogy)
World of Apu (Apu Trilogy)

Other trilogies which I can see others thinking the 3rd is as good as the 1st, but don't think so myself:

Three Colors: Red (Three Colors Trilogy)
Silence (Through a Glass Darkly; Winter Light; Silence)
Veronika Voss (BRD Trilogy)
Testament of Orpheus (Orphic Trilogy)