Magnetic frustration in three dimensions (3D) manifests itself in the spin-$frac12$ insulator Li$_2$CuW$_2$O$_8$. Density-functional band-structure calculations reveal a peculiar spin lattice built of triangular planes with frustrated interplane couplings. The saturation field of 29 T contrasts with the susceptibility maximum at 8.5 K and a relatively low Neel temperature $T_Nsimeq 3.9$ K. Magnetic order below $T_N$ is collinear with the propagation vector $(0,frac12,0)$ and an ordered moment of 0.65(4) $mu_B$ according to neutron diffraction data. This reduced ordered moment together with the low maximum of the magnetic specific heat ($C^{max}/Rsimeq 0.35$) pinpoint strong magnetic frustration in 3D. Collinear magnetic order suggests that quantum fluctuations play crucial role in this system, where a non-collinear spiral state would be stabilized classically.