Yes, the first is the empty set. Notation $S = \{\}$ would be correct, but it might be better to keep to $S = \emptyset$, to maintain better readability.
As for 2, this is a set that contains one object (which itself is an empty set). This means that, if $S = \{ \emptyset \}$, cardinality of $S$ is $1$, i.e., $\#S = 1$. It contains one element, and it is irrelevant that this element itself is an empty set.
Imagine an empty room. The number of items in it is zero, right? Now, put an empty cupboard in it. How many items are in that room? Obviously one, regardless of the fact that the cupboard is empty.
The third makes no sense to me. However, $S = \{ \emptyset, \{ \emptyset \} \}$ (note the comma) is a set containing two elements: an empty set and a set that itself contains an empty set.
This is a standard way to define natural numbers in the set theory. You start with the empty set, which you can axiomatize (put nothing in the bag... it's easy to accept that this exists) and then you a create new set $\{ \emptyset \}$ with one element. Now, you have two objects: $\emptyset$ and $\{ \emptyset \}$, so you use them to build a set with two elements: $\{ \emptyset, \{ \emptyset \}\}$. Now you have three different objects (since they are sets with different number of elements, they must be different), and you go on like that.