Question: How do I filter values that exists in all three columns?

Answer:

Formula in A14:

=INDEX(List1, MATCH(0, COUNTIF($A$13:A13, List1)+IF(IF(COUNTIF(List2, List1)>0, 1, 0)+IF(COUNTIF(List3, List1)>0, 1, 0)=2, 0, 1), 0)) + CTRL + SHIFT + ENTER copied down as far as necessary.

Named ranges
List1 (A2:A11)
List2 (B2:B10)
List3 (C2:C11)
What is named ranges?

Download excel example file.
Common values in three columns.xls
(Excel 97-2003 Workbook *.xls)

Functions in this article:

IF(logical_test;[value_if:true];[value_if_false])
Checks whether a condition is met, and returns one value if TRUE, and another value if FALSE

MATCH(lookup_value;lookup_array; [match_type]
Returns the relative position of an item in an array that matches a specified value

INDEX(array,row_num,[column_num])
Returns a value or reference of the cell at the intersection of a particular row and column, in a given range

COUNTIF(range,criteria)
Counts the number of cells within a range that meet the given condition

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