A solution using numpy dstack:
>>> import numpy as np
>>> np.dstack((a,b,c)).swapaxes(1,2)
array([[[ 1, 0, 0],
[ 5, 9, 9],
[ 0, 0, 0]],
[[ 3, 0, 0],
[37, 8, 9],
[ 0, 6, 0]],
[[ 5, 2, 0],
[49, 8, 3],
[ 1, 4, 6]],
[[ 2, 0, 0],
[ 3, 3, 1],
[ 6, 2, 0]],
[[ 1, 2, 1],
[ 4, 4, 5],
[ 0, 5, 4]]])