I love Risk, but it's hard to enjoy with just three people. Really hard.
I've played some Puerto Rico and it's a really fun game. The only problem is that sometimes it feels like it's over too quickly (not really a flaw, though) and that it didn't seem to me to have a lot of strategic depth or variation. I haven't played enough of it to really be sure, though, so take that with a grain of salt.
I really want to try both Diplomacy and Settlers of Catan some time, but I keep not having the chance.
And the more board games I play, the more I appreciate what a poor game Monopoly is. I've fallen out of love with it, I'm afraid. It drags way too much for a game so thoroughly driven by chance. At least Candyland is fast.
Oh, and has anybody here ever played Eurorails? A friend of mine has it and we've played it a lot, and I love it. You build rail lines and transport cargo all over Europe. It starts off sort of slow-paced but speeds up a lot towards the end. The only problem is that it seems to be both out of print and rather obscure.