The key is that you can manipulate the switches *before* you enter the room, not just when you're inside. Most people get stuck thinking they have to go in, test the switches, and that's it - but actually, the time you spend outside is part of the solution.
Here's what you do: turn on the first switch and leave it that way for a few minutes (5-10 minutes works). Then turn it off. Leave the second switch on. Don't touch the third one. Now you enter the room just once and observe three things: if the bulb is on (that's switch 2), if it's off but warm to the touch (that's switch 1, because it was on for a while), or if it's off and cold (that's switch 3). That way you figure out which is which without needing to go in multiple times.
The trick is that an incandescent bulb holds onto heat for a while after you turn it off, so you can use that as extra information. It's a classic puzzle precisely because it plays on that wrong assumption that you can only act inside the room.