Would the character suffer any kind of XP penalty or ECL type thing added for having a third class?
Multiclassing never creates a level adjustment (LA or ECL).
You will almost certainly get an XP penalty, unless your race has the third class as its "favored" class. If you are already taking a penalty on your first two classes, the penalty will increase by adding a third until you get at least two classes within one level of each other.
Examples:
[INDENT]An Elven Ranger 11 / Rogue 9 would take a 20% XP penalty as long as the Ranger and Rogue levels were more than 1 apart, since the Elf's favored class is Wizard. If the character takes one level of Fighter, the XP penalty jumps to 40%.
The same character with a level split of 10/10 would take a 20% penalty when adding the fighter level, but no penalty if he or she took a Wizard level.
A human or half-elf character with a level split of 10/10 would take a 20% XP penalty by adding a level of any base class, since it's the highest class level that is considered "favored".
[/INDENT]Prestige classes never count toward XP penalties.