I honestly don't know. Most of the Yuri anime I've seen, I've seen through porn videos (yes, I watch porn. Problem?), most of which don't state the name of the anime.
I guess La Blue Girl. It's not EXACTLY yuri (haven't had a chance to see the whole thing), but I do remember seeing a threesome scene between Miko and two other characters. Plus, I actually KNOW the name of this series.
it's not so much yuri as implied shoujo-ai, but madoka magica was heeaaartbreaaakinggg. it's not even just my favourite yuri anime, it's my favourite anime, period. uwu