When there is either one value in column 1 or column2 or 3 ....You could use an if statement and load them into one field.
load *, if(len(Column1)>0,Column1,if(len(Column2)>0,Column2,Column3)) as Choice;
SQL Select * from Database;
When there can be values in all three fields for the same record, you could use something like the following in your load script: (see crosstable in the help)
Load * Inline [Id,Column1,Column2,Column3
1,First Choice,Second Choice,First Choice
2,Second Choice,,Third Choice
3,Third Choice,,Fifth Choice