"Is it possible to link three rings together in
such a manner that they are indeed linked, yet if we remove any
one of the rings the other two become unlinked?"
Yes!
Standard diagram of the Borromean rings
A realization of the Borromean rings as ellipses
Coat of arms (of the municipality of Hallsberg, Sweden) showing padlocks
in Borromean rings configuration
(Thanks Wikipedia!)
icosahedra, golden rectangles, and interlocking
rings! (see page 381)