Are UVW coordinates the standard for 3d games?

It is always hard to tell if some technique is considered as standard. I think that most games still use UV instead of UVW. It depends on the used engine and most engines will most probably only use the W coord for 3d textures.

What would be the benefit of using the additional W coord and how does it hold up to memory and bandwidth consumption ?

I think the W is used for trapezoids: low-poly sphere texturing at the poles. Skydomes. But it's not essential to regular models.

Seems that is a definitive no. Perhaps if volumetric textures ever begin to replace 2D textures things could change. Right now they seem awfully useless.