I have RedPower, BuildCraft and Thermal Expansion, and IndustrialCraft. Unfortunately, these all use different forms of energy. Is there a way to convert between the three forms of energy?
It's possible, but not directly (unless you're using the Ultimate or YogCraft pack.)
In the Direwolf20 and Mindcrack packs, you can easily convert EU to MJ and BC to MJ using the Electrical Engine and the Blulectric Engine respectively. You can convert MJ to EU by using engines (of any sort) connected to a Magma Crucible, which is fed by either cobblestone or netherrack. This produces lava, which can be pumped into a geothermal generator to produce EU. Unfortunately, there is still no way to convert to Blutricity, although the developer of Redpower says it will come in a future update.
In the Ultimate and YogCraft pack there are Power Converters. This allows much easier conversion. The above trick using the Magma Crucible still works.
It depends on what pack you're using.
In the Direwolf20 and Mindcrack FTB packs, not really, no. The Electrical Engine is powered by EU and outputs MJ, but the reverse isn't possible. RedPower2's own Blutricity Engine also generates MJ, but nothing converts to Blutricity.
In FTB Ultimate you have the Power Converters mod available. It provides a set of blocks that can be configured to convert between EU, MJ, Volts/Amps/Watts (Universal Electricity), Steam, and Charge (Factorization). There is still no way to convert to Blutricity, however.