The following complements the previous answers to arbitrarily many forms over any field $F$ of characteristic not $2$.
In general, given symmetric bilinear forms $f_1,\dots,f_t$ on $F^n$, the intersection $O_{f_1}\cap \dots \cap O_{f_t}$ will be of the form $O(A,\sigma):=\{a\in A:\sigma(a)a=1\}$ for some $F$-algebra $A$ and some $F$-linear involution $\sigma:A\to A$ that can be determined as follows.
Let $A$ be the subalgebra of $\mathrm{M}_n(F)\times \mathrm{M}_n(F)^{\mathrm{op}}$ consisting of pairs $(U,V^\mathrm{op})$ such that $$f_i(Ux,y)=f_i(x,Vy)\qquad\forall i,\,\forall x,y\in F^n$$ (in other words, $V$ is the dual of $U$ with respect to all the $f_i$). The involution $\sigma:A\to A$ is defined by $\sigma(U,V^{\mathrm{op}})=(V,U^{\mathrm{op}})$. Now observe that if $U\in O_{f_1}\cap\dots\cap O_{f_t}$, then $U^+:=(U,(U^{-1})^{\mathrm{op}})\in A$ and satisfies $\sigma(U^+)U^+=1_A$. This defines a group homomorphism $$O_{f_1}\cap \dots\cap O_{f_t}\to U(A,\sigma)$$ and it is a nice exercise to check that this is an isomorphism.
Back to the case of two forms $f,g$: Given matrices $U,V\in \mathrm{M}_n(F)$, the conditions $f(Ux,y)=f(x,Vy)$ and $g(Ux,y)=g(x,Vy)$ unfold to $U^t A_f=A_f V$ and $U^t A_g=A_g V$. Since $f$ is non-degenerate, $U$ determines $V$, i.e., $V=A_f^{-1}U^t A_f$, and thus $(U,V^\mathrm{op})\in A$ if and only if $V=A_f^{-1}U^t A_f$ and $U$ and $J:=A_f^{-1}A_g$ commute. Thus, there is an isomorphism $$ A\cong \mathrm{Cent}_{\mathrm{M}_n(F)}(J)=:C$$ given by $(U,V^{\mathrm{op}})\mapsto U$, and under this isomorphism, $\sigma$ is corresponds to the involution $\tau:C\to C$ given by $\tau(X)=A_f^{-1}X^t A_f=A_g^{-1}X^t A_g$. Thus, $$ O_f\cap O_g \cong U(C,\tau)=U(\mathrm{Cent}_{\mathrm{M}_n(F)}(J), X\mapsto A_f^{-1} X^tA_f). $$ It is further worth noting that $J=A_f^{-1}A_g\in C$ and is stable under $\tau$. Thus, if the minimal polynomial of $J$ has degree $n$ (which happens in the generic case), then $C=F[J]$ and $\tau=\mathrm{id}_C$, so $$ O_f\cap O_g=U(C,\mathrm{id}_C)=\{c\in C:\,c^2=1\}. $$ If it is moreover the case that the characteristic polynomial of $J$ has $n$ distinct roots, then $C\cong F\times\dots\times F$ and $$ O_f\cap O_g\cong \{\pm 1\}^n.$$ This is the "generic" behavior over an algebraically closed field.
For $3\times 3$ matrices over $\mathbb{R}$, it should be possible to list down all the possibilities for $C$ and $\tau$ and get a full classification.
Returning to the general case, the structure of the group $U(A,\sigma)$ is generally well understood. That $O_{f_1}\cap\dots \cap O_{f_t}$ has this form was probably known at least since the 1960s. For example, look at sections 2 and 3 of Bayer-Fluckiger and Lenstra's paper "Forms in Odd Degree Extensions and Self-Dual Normal Bases" and the references cited in this source.