Samsung has changed the "pin layout" on this port so that it is not compatible with standard MHL accessories - even ones made by Samsung.
If you want this functionality (HDMI out) for your SGS3, you will need to buy the Samsung adapter that is made specifically for this phone model, and you won't be able to re-use that adapter with other devices.
Personally, I think it is better to avoid buying the Samsung adapter. For starters, it is getting such that you don't know what you are getting with Samsung mobile accessories. They have done this before (e.g. the pseudo-PDMI connector on their tablets) and are now labelling products as MHL that are incompatible with the MHL standard and other products.
As well as causing confusion and extra expense for their users, this undermines this useful emerging standard, is inconvenient and inefficient, and it is bad for the environment as it blocks the re-use of accessories.
But I don't mean to turn this into an anti-Samsung post at all - I think the SGS3 is a great phone. They are, of course, just trying to increase their accessory revenues. It is up to consumers now - if this move does not increase their accessory revenue then they probably won't repeat it.
Answer edited to add this site about the issue: