As was pointed out in the comments most photons are produced individually from deexcitation of electrons from higher energy orbitals, where they had been pushed by heat ( as with heat filament lamps) to lower ones.
Since I am a little new to this topic, a little background of entanglement would be appreciated as I might be wrong in my conceptualization.
When talking of photons the quantum mechanical framework is involved. In quantum mechanics the production of a photon follows solutions of the quantum mechanical equations for the boundary conditions of the problem. The confusing word ( in mty opinion) "entanglement" for any state that is in the quantum mecanical framework means that there exists one solution whose phases and amplitudes are completely known, and dependent on the boundary conditions of the problem at hand.
For two particles to be entangled it means they have been produced at the same time connected by a single interaction so that the phases and amplitudes are correlated for the two. This happens in the lasing process where laser light is formed where the phases are deliberately "entangled" for many photons and the phenomenon of coherent laser beams is achieved.
Ordinary light though, which emerges from incoherent processes by individual interactions is built up by zillions of photons. It can be forced into coherence when passed through a narrow slit , displaying the characteristics of a coherent point source. That is why in double slit experiments a first single slit commensurate with the wavelength is used in order to create a coherent point source and see the interference patterns clearly. It is not that the individual photons are interacting with each other, but that the boundary conditions impose an order in their relative phases that creates coherent phenomena. Coherence is a separate phenomenon from "entanglement" due to the production wave function, though both display a knowledge of phases between photons.
The probability of producing a photon goes like (1/137) each "entangled" ( i.e. contiguous interaction producing another photon) is multiplied by this small number so to get three photons produced within on solution of the boundary conditions of the filament of a lamp becomes this number to the cube, a very small number. In the case of lasers this is overcome by the smart choice of crystals and atoms and the boundary conditions that are imposed to create chain reactions of interactions which then have known phases and are "entangled".
Hope this helps.
