The rule of thumb is that 99.7% of the data observed according to a normal distribution is within 3 standard deviations of the mean.
According to this rule, 68% of the data fall within one standard deviation, 95% percent fall within two standard deviations, and 99.7% fall within three standard deviations of the mean.
Three sigma limits, which follow a rule of thumb, are used to set upper and lower control limits in statistical quality control charts and in risk analysis such as VaR.