There are shrimp, ants and a few other species that have "multiple" sexes. In the case of the shrimp they have chromosomes ZZ, ZW, WW (male, female and hermaphroditic female, who can self fertilize, if memory serves correct).
There is also another species of shrimp I believe who's sex is determined by certain genes, not chromosomes and can again have 3 "sexes". From an evolutionary standpoint there is lots of reasons that only 2 sexes stayed with most of the animal kingdom. Most of which probably have to do with the way that resource utilization occurs for the production of gametes and the fact that once a good system for introduction of variation was hit upon, it stayed.
There are other problems as well, like the http://www.indiana.edu/~curtweb/Research/cost%20of%20males.html" . As males hinder a populations ability to grow and a individual to get it's genotype into the next generation, the evolutionary benefit of sex decreases.
Which tells us there is something else going on. When we observe species which cycle through asexual and sexual reproduction, we notice that they favor sexual reproduction during times of environmental instability--Producing more varied offspring who are more likely to "hit" upon a novel permutation of variation and be more successful in the later environments.
Adding another "sex" to such a system would make the "cost of sex" become a 4 fold cost, instead of a "2 fold cost".
If you want to learn about it, I'd suggest John Maynard Smith's
The Evolution of sex, as that is still pretty much the primer on "why sex". That would also prepare you to understand more eloquent ideas about the evolution of sex.