They show up from time to time.

Ian Banks' *The Player of Games* features a three gendered pan-human race.

Niven's Puppeteers are likewise three gendered (though one could argue about this as the bearing gender is strictly a separate species).

Le Guin's *The Left Hand of Darkness* features a human race that lives as neuters except during brief periods during which they take on one or the other gender (but not always the same one), which could be construed as three genders if you wanted to.