You could do
str = "\
line 1\
line 2\
line 3";
As mentioned in the comments, javascript parsers handle this fine (it works in all major browsers), but is not officially part of ECMA Script syntax. As such it may or may not work with compressors, error checkers, and isn't guaranteed to work in browsers.
This may be more readable, but isn't the 'best' way to do it. Maybe ECMA script will support something like c#'s @"" someday.