I have three databases associated with three different WP sites. I set up one MU site, with one database. How should I import each of the three databases?
Best thing to do is read the docs: http://codex.wordpress.org/Tools_Export_Screen and http://codex.wordpress.org/Importing_Content#WordPress and work with WXR files rather than trying to export directly from the database.
You also have the option on Import to grab images. Or you can merge the contents of the three wp-content/uploads/ directories, but be aware that it's possible some images may have the same name and get overwritten.