They are all Flying types.
Landorus is Ground-Flying, Thundurus is Electric-Flying, and Tornadus is pure Flying.
Flying is weak to Rock, Electric, and Ice.
Electric is a bad counter right off the bat due to Landorus' Ground Type.
Rock is okay but it only does x1 Damage to Landorus, who seems to be the most common of the three.
Ice, however, is your best bet. 4x Damage to Landorus, 2x damage to the other two.
A fast Ice type counters all 3 nicely. A nice fast Ice Type you can use is Weavile.
Weavile @ Choice Band/No Item (If using Pickpocket)
Nature: Adamant (^Atk vSpAtk)
EVs: 252 Spd, 252 Atk, 4 HP
Even though it has its fair share of weaknesses, 120 Attack and 125 Speed with a STAB Ice Punch will make Landorus faint and inflict serious damage on the others. The other moves are for coverage. Pressure runs down PP, Pickpocket steals items and can disrupt strategies.