The grass is always greener on the other side of the fence. More specifically, people always seem to desperately crave whatever it is that other people are doing that they aren't getting themselves. When they do get it, it practically never lives up to expectations and they rapidly get onto desiring the next thing in line. The hedonic treadmill, it is called, where people always want more and actually getting more is nothing more than a temporary hit of good chemicals before things get right back to where they were.
The Ferrett wrote a good piece a short while ago about this where he talked specifically about first time teenage sex and threesomes. People who aren't having sex tend to be all wound up about it, and they have all these ideas about what sex will be like. The reality is usually completely different from the imagined situation. Real sex is messy, involves unexpected bodily fluids, falling down, poking people with elbows by accident, and farts that come out at the most inconvenient times. It isn't usually like our imaginations, much less like porn, and particularly first times tend to be a bit of a disaster. Mine was! Not that it was terrible, because I sure wanted to do that again, but it would never have been described as smooth. (It was my fault, since I was the one who had no idea what I was doing.)
Threesomes are the same thing according to Ferrett. People not having them feel like it must be this outrageously perfect thing that takes you to a whole new level of sex. In practice though they are like sex is when you get to the real doing of it - lots of figuring shit out and goofing up. Also much like two person sex it is far more important to be involved with people that you are comfortable with who can laugh at whatever silliness happens than it is to aim for 'the perfect experience.'
I think though it is useful to extend this a lot further. People who remember wanting sex, knowing everyone else is having it (even when they aren't), and being desperate to take part in the transcendant experience will also generally remember it being a lot more pedestrian when it actually happened, but this is true of nearly everything. Remember wanting a car? Then you get a car and it won't start and you have to cope with getting it to a mechanic and hoping that the mechanic won't announce that you owe $5000 for repairs. Remember wanting a house? Then it floods and there are mice and the mice are building rafts to get around during the flooding and can they even do that?
When other people have a thing you want that thing. But when you get it you aren't going to be nearly as excited as you thought you would be, and the excitement you have won't last nearly as long as you think it will.
This is true for threesomes, sex, new board games, fancy suits, Porsches, vacations, and everything else.
You should keep on striving for new and interesting things, of course, but it is best to be realistic about how much different your life will be when you finally do get them. Also don't worry too much about how much fun people who have those things are having - it is a hell of a lot less fun than you imagine it is.