From WWE.com's title history section.
With his contract expiring at midnight, CM Punk shocked the entire world and defeated John Cena to capture the WWE Championship in his hometown of Chicago. An irate Mr. McMahon called for Raw's Money in the Bank winner, Alberto Del Rio, to immediately challenge the new champion. Instead, Del Rio was met with a kick to the head by The Second City Savior, who exited through the Chicago crowd with the WWE Championship as Mr. McMahon helplessly watched.
While mired in controversy that would permanently resonate in WWE, CM Punk's victory made only him the third Superstar in history to hold each the ECW, World Heavyweight and WWE Titles.
Like most of you, I believed that CM Punk was the second superstar (ever) in WWE history to have held all the 3 major Championships. The first being "The Big Red Monster" Kane who has held the WWF Championship, the ECW World title and the World Heavyweight Championship.
Now the question arises, who is the third superstar?
I would like to argue that the third superstar (actually first, he won 3 major championships before Punk or Kane) is none other than the Big Show. Big Show has held the WCW Championship (the previous incarnation of the World Heavyweight Championship), the WWF/WWE Championship and the ECW World title.