One-to-Many SQL SELECT into single row

This is one way to get the result.

This approach uses correlated subqueries. Each subquery uses an ORDER BY clause to sort the related rows from table2, and uses the LIMIT clause to retrieve the 1st, 2nd and 3rd rows.

SELECT a.PKID
     , a.DATA
     , (SELECT b1.U_DATA FROM table2 b1
         WHERE b1.PKID_FROM_TABLE_1 = a.PKID 
         ORDER BY b1.U_DATA LIMIT 0,1
       ) AS U_DATA1
     , (SELECT b2.U_DATA FROM table2 b2
         WHERE b2.PKID_FROM_TABLE_1 = a.PKID 
         ORDER BY b2.U_DATA LIMIT 1,1
       ) AS U_DATA2
     , (SELECT b3.U_DATA FROM table2 b3
         WHERE b3.PKID_FROM_TABLE_1 = a.PKID 
         ORDER BY b3.U_DATA LIMIT 2,1
       ) AS U_DATA3
  FROM table1 a
 ORDER BY a.PKID  

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FOLLOWUP

@gliese581g points out that there may be performance issues with this approach, with a large number of rows returned by the outer query, since each subquery in the SELECT list gets executed for each row returned in the outer query.

It should go without saying that this approach cries out for an index:

ON table2 (PKID_FROM_TABLE_1, U_DATA)

-or, at a minimum-

ON table2 (PKID_FROM_TABLE_1)

It's likely the latter index already exists, if there's a foreign key defined. The former index would allow the query to be satisfied entirely from the index pages ("Using index"), without the need for a sort operation ("Using filesort").

@glies581g is quite right to point out that performance of this approach can be problematic on "large" sets.

Depending on your release of MySQL, you can look into GROUP_CONCAT