It will be easy if you use different class for second and third select element
$(".one").change(function(){
var val = parseInt($(this).val());
$('.two,.three').find('option:contains('+val+')').remove();
});
EDIT:
Updated code to apply for multiple selects. [Thanks to all commentators and Alex for bringing it to notice ]
$(".one").change(function(){
var val = parseInt($(this).val());
$(this).siblings().find('option:contains('+val+')').remove();
});