Volition's confirmed that work's already started on Saints Row 3 in an interview with Play. Not only that: the game will take a "new direction" from the first two, apparently.
From the piece:
The last game had a very 'open' ending. Can we expect something similar with SR2?
Associate producer Dan Sutton: Well, we knew a lot of people were upset with the last one because they were playing it and it was like "oh gosh, I've got to wait for the next one", but in SR2 we tie-up a lot of loose ends. I think we tie it up deliberately. We've already started work on Saints Row 3, and we have a new direction we want to go in with that which we of course can't talk about. We wrap up a lot in this one. There's no frustration.
So... Saints Row 3 will take a very new direction?
I think so, yes.
So there we are. In the meantime, can we have a copy of the second one please, THQ PR?