The Unholy Trinity is the Satanic version of the Christian concept of the Holy Trinity. It is believed by some to be symbolic of a union between three powerful demons to oppose God and the forces of Heaven during the apocalypse, resulting in the era known as the End Times - which in turn would lead to the battle of Armageddon and ultimately the Day of Judgement.
The Unholy Trinity comprises of the Beast, the Antichrist and Satan - a blasphemous version of the tradition "Father, Son and Holy Spirit" found in some Christian sects.
In The Book of Revelations, the Antichrist starts the End Battle by converting humans to his ways, and then the Antichrist moves among humans as one of them. The Antichrist and the Beast together rule the world with Satan, and all three have an empire which lasts the 7 years of the Tribulation. In that time, the Moon turns to blood, and stars fall.
In the final days of the reign, God defeats the Antichrist, the Beast, and the evil angels. The Antichrist and the False Prophet are fought and bound by Jesus and cast into the Lake of Fire. Meanwhile, the Devil, Satan, is bound by an angel with a great chain, and cast into the Bottomless Pit.
After 1,000 years, Satan is released from his prison, and he and his armies corner New Jerusalem. However, fire comes down from heaven and devours them. Satan is then thrown into the Lake of Fire (presumably by Jesus) where the Antichrist and False Prophet are, and the three would be tormented day and night forever and ever.
This is however a misrepresentation of Satan's fate. Ultimately, the Lake of Fire is the "Second death" which implies Satan is obliterated and destroyed along with his minions when they are thrown in the Lake of Fire.
Examples in Fiction
The Omen is centered around this philosophy, with the Unholy Trinity being the Devil as the Devil, Damien as the Antichrist, and Ann Thorn as the False Prophet. The Trinity is mentioned by monks in the first movie.
In the Hellboy-comics and film the Ogdru Jahad are the Dragon (another name for the Devil), Grigori Rasputin is the False Prophet and the titular Hellboy could be seen as the Antichrist. Luckily for all of humanity Hellboy, after being summoned by Project Ragna Rok, was discovered by the Proffesor Trevor Bruttenholm, a devout catholic, who raised the cambion like his own son. Due being raised in a moral enviorement, Hellboy has always rejected the temptation to fulfill his destiny to end the world.
In Spawn the Unholy Trinity was mentioned numerious times with Satan himself being the Devil, and the Antichirst and False Prophet yet to be seen. Violator is affilated with this group and seeks to create a new Unholy Trniity. During the Satan Wars arc, the demons seek vengeance against Simmons for what he did against the Trinity.