There has not been a trifecta since Detroit in 1935. It is very rare and it has never happened in NY, Chicago, SF or LA even though they have multiple teams in all or some sports!
I recently read a story about being a sports fan and the conclusion was is can be very disappointing and heart breaking to be a fan unless you were born in the Boston area in the early 90's. The 20 years of their fandom has been nothing less than incredible. 6 Super Bowl wins, 4 World Series wins, 1 NBA championship, and 1 Stanley Cup and now just four wins away from another which would complete the trifecta!