DAX formula to concatenate three columns

If the columns are already text, you can use th & operator, i. e. use

[FIRST_NAME] & " " & [LAST_NAME]

You can find the documentation of concatenate - including the fact that it only accepts two arguments - at http://technet.microsoft.com/en-us/library/ee634811.aspx.

For anyone coming back to this, particularly if you have more than two variables to concatenate, consider using COMBINEVALUES():

=COMBINEVALUES(<delimiter>, <expression>, <expression>[, <expression>]…)

For the posted question, this would look like:

=COMBINEVALUES(" ", [FIRST NAME], [LAST NAME])

And can be expanded to include additional values after [LAST NAME].