That is call 'bracketing'. It's a technique that has been used since long before digital and 'HDR' came about.
The idea is that you may not be sure about your (or your camera's) metering of the scene...and thus the exposure of the photo. By taking several shots at different exposure settings, you give yourself a better chance at getting the best image. This was especially important when shooting with slide film, because of it's narrow exposure latitude.
So when you upload your photos to the computer, have a look at all three of them and pick the one you like best. You may also find that one of them is better for editing, even though it doesn't look the best at first glance.
Now, that being said....the current 'fad' is HDR (high dynamic range). This means that you use software to combine the different exposures, in order to end up with an image that has a wider range of tones that you camera would have been able to capture in a single exposure. This can be a great tool but it's also very easy to overdo it and get photos that are surreal, even wacky. Some people like it, some don't...its up to you.