You could use either, but the comma doesn't belong. This is a defining clause.
Which three tragedies? - Three tragedies that happened on the sea that are still remembered today.
(There are some regional differences regarding preferences for that/which in these cases. I prefer 'that' in this case.)
That so :-? ;-)
These are defining:
...three tragedies that happened on the sea that is called 'The Red Sea'.
...three tragedies that happened on the sea that surrounds Malta.
The second 'that' clause answers the question 'which sea?'
The question is, do you parse the relevant clauses as
...three tragedies of which two things can be said: they happened on the sea and they are still remembered
or
...three tragedies that happened on the sea. By the way those tragedies, which you already know about because I've defined them as having 'happened at sea', are still remembered
'...that are still remembered' in the first case defines maritime tragedies, and in the second case gives more information about the three tragedies in question. The reader, in the second case, knows which tragedies are being dealt with; the bit about their memorability is an interesting extra. I disagree about the comma's adding nothing: it prevents a nonsensical interpretation involving memorable seas!
Note, by the way, that I'm not espousing any restrictions about 'which' and 'that', and I agree that the sentence - with the comma - is badly expressed. The fix is not to remove the comma, but to write better in the first place!
;-)
b