I don't know what the worst is, but the best is when SEGA announced the release of the Saturn in North America at E3 '95.

It all depends on how one views the question "Which Company Had The Worst E3?" Is the question being asked directly or indirectly? Are you asking worst E3 itself, or worst E3, including long-term effects? Since we are comparing 2006 vs 2008 vs 2011, I see the question to be asking worst E3 itself, and not the long-term effect. Otherwise would be an unequal/unfair comparison.
With that being said, I would declare Microsoft's 2011 E3 to be the worst. Sony's 2006 wasn't being called bad at that time, we later declared it as bad because the PS3 didn't sell well. Failed E3; yes, bad E3; not necessarily. Besides, low PS3 sales that year were more due to high price than anything else. People were complaining about the Microsoft 2011 E3 simply days later. And the Kinect looked like it downright doesn't work well with shooters [Ghost Recon]; Microsoft's largest fan-base. Despite Xbox360/Kinect 2011 sales being high, people are declaring the E3 itself as being bad.

Sony's was funny in a depressing way. Microsoft's was depressing and just really dumb, Nintendo's was just humiliatingly awkward. That look on the face of that dude playing drums sums it up.

In order:

Sony 2006
Nintendo 2008
Microsoft 2011

I want E3 keynotes to move back to the 2000-2004 presentations, they focused on awesome back then.

Only decent one in 2011 was from EA, they focus on game these past few years at E3, which is good.

I was not thrilled by MS's E3 this year. Kinect is a great piece of hardware and the games that were showed just do it no justice.

The Nintendo conference was a little bit of a let down. But there was quite a bit of good announcmencement durning the duration. It was a bad decision to end with the Bio-sensor. If they rearranged it a little bit it wouldn't of been as much of a let down. It was just a bad discision to build up to the Bio-sensor as the big announcement of the press-conference.

I was at the E3 in 2006 and for what could of been a show for Sony to show that the PS3 was the system of the next generation, it failed miserably. I mean on floor the next day you could see the lack of interest in the PS3 the booth was virtually empty before the end of the first day. And you could walk in a play any of the demos without a wait because it just didn't generate any buzz. And the next two days was the same for Sony.

The Microsoft one was flat. So I would say:

Sony had the worst; then Nintendo; then Microsoft.