ASE does support animation, keyframe animation that is. The ASE exporter can be set to export animations in the export-options-panel. I didn't use that though. The way I did it is that I have exported one .ASE-file per frame. If you have downloaded the gordon-demo, you'll see that it has a lot of .ASE files in the gordon-folder. Quite simple, and a complete diskspace-eater
To make the animation look somewhat smooth and to cut down on required .ASE files, I use a simple linear interpolation between the frames.
If you need your own file-format, I'd recommend taking a quick look at MAXscript, as it was surprisingly easy to export a scene using it. That way you can export animations etc just the way you want without all the unneeded info you don't need. In fact, if I had taken a look at MAXscript before I started doing the .ASE loader, I probably never would have made it using ASE, but rather a custom format.
I have uploaded a Managed DirectX-test I've been playing around with in case you want a look. In the debug-folder you'll find the maxscript I used to export the program's content, and I think it's fairly well commented to be easily understood. The files MAX export is in an easily-parsable text-format. I'm not saying this is a good exporter, but it works
Please have a forgiving mind looking over the C#-code that parses it, as it's not commented (however the parsing part should be pretty self-explanatory) and the rest of the code is... well. Messy. It's a test-app i'm playing around in...http://home.no.net/tabusd/files/mdxtest.zip
Note that the script only exports selected objects in the scene, and they must be textured in some way or else the script might fail.