In an interview with Davide Speyrer, Half-Life 2 Episode 2's project lead, he says that Valve is planning something "pretty ambitious" for Episode 3, addressing the interviewer's statement on the absence of a trailer after Half-Life 2: Episode Two (PS3, Xbox 360, PC).

Speyrer explains that the trailer was left out for a number of reasons. The most interesting being that while they don't want to "over commit" to it, Episode 3 will be doing something special for the series:

We deliberately left that out for a number of reasons. One was we didnÂ’t want to dilute the moment of the ending. I think if youÂ’d watched the credits roll and then this high action Episode Three trailer came on, you wouldnÂ’t quite feel the same.

Another reason was to leave us open on Episode Three. WeÂ’re going to try and do something pretty ambitious for that project. We donÂ’t want to over commit. If you look at the Episode Two trailer that we shipped with Episode One thereÂ’s some pretty radical difference between what you see there and see in finished game. ThatÂ’s really an artefact of making a trailer for a product thatÂ’s still in heavy production. You just donÂ’t know where youÂ’re going to end up.

It's been speculated before that Episode 3 will be set in the Arctic. Not much else we can tell you about just how ambitious the project will be though, but you're free to speculate for yourselves.

Via Rock, Paper, Shotgun