Why settle for two out of three?
Maazel, who was mentioned earlier in the thread, is on CD as the soloist in his own violin concerto, and he won many plaudits on the instrument at an early age. However, he never quite focused on it. Few are his equal as a triple whammy--maybe Bernstein and Previn. I'm not sure what to say about Mitropoulos as a composer--certainly he's worth a listen--but he obviously abandoned that for greatness as a conductor, and he was a virtuoso pianist. Paul Hindemith was regarded as a leading violist and the few documents I've heard of his conducting other people's music (Beethoven, Bruckner) are impressive.
I understand that Bruno Maderna was a violin soloist prodigy before becoming a leading composer of his day. Meanwhile, he was one of the greatest conductors of the 20th Century.
Sawallisch may or may not be your idea of a great conductor, but he certainly reached the pinnacle of the profession. He was a great accompanist at the piano (his infamous "Wagner in a Snowstorm" concert was a pianistic highlight from his Philadelphia days.)
Van Zweden was obviously a great violinist and is now well on his way to being one of the most prominent conductors of our time.
Osmo Vanska was arguably a "great" clarinetist before concentrating on conducting. Rudolf Kempe was at least equally accomplished as an oboist.
Mikhail Pletnev follows Koussevitzky and Rostropovich in the tradition of great soloists who are not always great conductors, but are at least pretty good at it and sometimes about as close to "great" as anyone gets.
I guess Barenboim is too obvious--or simply too prolific--for anyone here, but I have heard him reach greatness both as a pianist and as a conductor.