TL;DR: It is possible, but not very easy to pull off.

Real life examples:

One bullet, two deer killed:

A few years ago, a 10 year old boy on his first hunting trip killed two deer with one round.

One bullet, two men killed:

In 2009, a British sniper in Afghanistan killed two suspected insurgents who were fleeing on a motorcycle; the bullet passed through the heads of both men.

The Barrett .50 BMG anti-matériel rifle fires an enormous bullet - far too big for any handgun - but we're talking about a round traveling a mile, passing through a 10" thick wall, passing through one person, then passing through another. The human skull is only 1/4 inch thick, so passing in and out of 3 skulls in succession would mean traveling through 1.5 inches of bone. At close range, a handgun of average firepower could do this quite easily.

One bullet, seven wounds, one man killed, one wounded:

One of the bullets that hit John F. Kennedy entered the back of his neck, exited from the front of his throat, went into Governor Connally's back, out his chest, then into his forearm and out through his wrist, finally lodging just below the skin of his thigh.

Along the way, this bullet damaged one of Kennedy's vertebrae, shattered one of Connally's ribs, and broke a bone in Connally's wrist. Thus we see that bullets have considerable momentum, and can often punch through multiple surfaces/victims, doing extensive damage on the way, before coming to rest.

One bullet, five wounds, one man killed:

An autopsy on a boy in India showed that he had died in an accidental shooting, and the bullet had caused five wounds (link: warning - extremely graphic): it entered below his knee, exited above it, entered his hand, exited his wrist, and finally, entered his chest.

One bullet, 17 wounds, 9 men hit:

It is said that an imperialist adventurer once tied 12 Unangan men together in Alaska and fired a single round from his rifle at them. The round passed through eight of the men, lodging in the ninth.

Deadpool:

Deadpool isn't firing an anti-matériel rifle, nor is he firing the .50 BMG, but he has the next best thing: his primary weapons are a pair of IWI Desert Eagle Mark XIX .50 handguns. These are among the most powerful handguns ever made, and they have more than enough muscle to do the job.

Give him an infinite supply of ammunition and perfectly lined up skulls and he can score 3-for-1 shots all day long. The only tricky part would be a real life scenario in which the targets are running around doing everything in their power to avoid being shot.

As Voo generously said in a comment:

I used this calculator to get the kinetic energy of the bullet used in the Kennedy shooting (162grains, 1700fps) - 1410 joules). The desert eagle has a maximum muzzle velocity of 150fps and there's 325 grain heavy ammunition for it. So from a close enough distance at least the energy would be more than enough

And Dan Neely added: