Traditionally, the study of the structural parameters of galaxies have been used to understand the bulge formation processes. However, one piece lost in this study is the three-dimensional shape of the bulges. In this work, the structural parameters of a magnitude-limited sample of 148 unbarred S0-Sb galaxies were derived to study the correlations between bulge and disk parameters as well as the probability distribution function (PDF) of the intrinsic equatorial ellipticity of bulges. A new algorithm (GASP-2D) was used to perform the bidimensional bulge-disk decomposition of J-band galaxy images extracted from the archive of the 2MASS survey. The PDF of intrinsic ellipticities was derived from the distribution of the observed ellipticities of bulges and misalignments between bulges and disks. About 80% of bulges in S0-Sb galaxies are not oblate but triaxial ellipsoids. Their mean axial ratio in the equatorial plane is 〈B/A〉=0.85. There is not significant dependence of their PDF on morphology, light concentration, and luminosity. The scenarios in which bulges assembled from mergers and/or grew over long times through disk secular evolution have to be tested against the derived PDF of bulge intrinsic ellipticities.