It depends on your definition. Rosie Redfield and I had a discussion about this when we were together in Ottawa. I think some species of bacteria do engage in sex because all three mechanisms can result in gene exchange between different individual bacteria. I think that transformation and conjugation may have arisen, in part, as a way of repairing damaged DNA and escaping the effects of Muller's Rachet.
Rosie thinks that sex, by definition, means mixis—the shuffling of alleles due to sex as in eukaryotes. Here's how she explains it in a recent post on her blog [Claims that Bacteria Do Have Sex].
This work addresses a very important question with big/deep/fundamental importance to the colossal problem of the origin of meiotic sex in eukaryotes. The question is 'Do bacteria have any processes that evolved because of selection for recombination of chromosomal alleles?' We think this selection is the reason for the success of meiotic sexual reproduction in eukaryotes, but compelling evidence for this has been elusive. Bacteria have four well-studied processes that do generate homologous recombination; three that transfer DNA between cells and one that carries out homologous recombination. But almost every aspect of these processes has been shown to cause recombination as an unselected side effect of processes selected for other functions.I don't think sex evolved in eukaryotes in order to promote mixis so this argument doesn't resonate with me.
Read Rosie's post if only to discover why she thinks transformation evolved. She's thinking of applying for a grant to study this problem so I'm sure she would appreciate your feedback.
[Image Credit: Rosie Redfield]