First time: The Roman Empire split in two, creating the Eastern Roman Empire and the Western Roman Empire. This is the fall of the Western Roman Empire, which died pretty quick.
Second time: The Roman Empire finally died after living a good 1000+ years. The Eastern Roman Empire, or the Byzantine Empire (after the original name of Constantinople, Byzantium) as you may know it, fell to the Ottoman regime.
Third time: Heh, the Ottoman Empire wasn't really Roman, was it? That's hilarious.