By entertaining you mean tight or high-leveled?
Not all best-of-five matches are entertaining, but anytime you get to at least four sets there's some intrigue, I think.
The worst thing about the best-of-three is the potential for a very short match. A two set final is short, period. Paying that much money to watching a two-setter is a rip-off. And even if I'm watching it on tv it's still extremely unsatisfying.
But in a best-of-five match, there's greater potential for the tide to swing one way and then the other. How many times do you see a guy win the first two sets and then crumble with fitness issues and surrender the next two or at least one? Happens again and again in best-of-fives.
But in a best-of-three it's a clean sweep - easy victory. Little intrigue.
So, to answer your question, an exciting match can be both a) very tight, or b) it can involve one player dominating a portion of the match, but later surrendering the momentum to the other player - something, again, that happens that one's fitness is tested.
This is my issue with the current format. The matches are not long enough to truly test out how fit these guys are. So when a player goes down a set and a break he doesn't dig in within himself - he simply gives up.
Watch Ferrer today. Fails to get the break back after the rain delay and just surrenders. Wouldn't happen in a best-of-five match. Though, granted, Nadal would still dominate his fair share of finals - best-of-three or best-of-five.