E3 stands for “Electronic Entertainment Expo”
It is basically a big 3 day showcase for many of the upcoming software and hardware in relation to gaming and sometimes other areas of “entertainment”.
Plenty of juicy announcements are made in the weeks before the show and during the show; for example: Rock Band 2 was just announced this morning!!
Here’s the wiki page for E3 check it out if you want to know more about the event