Nothing in particular except that they are good in battle. But if you have a Keldeo also something special happens.
If you bring the four of them to pledge grove behind Alder's house, then there is a small event type thing where Virizion, Terrakion, and Cobalion teach Keldeo Secret Sword, an event exclusive attack. And it will change keldeo to its resolute form.
So nothing special happens when only Cobalion, Virizion, and Terrakionare together but if a Keldeo is there, secret sword can be taught to Keldeo and then Keldeo changes to the resolute form.