Have a look at http://www.j3d.org/utilities/loaders.html
- there's a list of loaders available for Java3D and most should be adaptable to a different engine.
If you're working in MAX start off with .3DS which is reasonably comprehensive for static models. I don't know of any open .max importers. .ASE (Ascii Scene Export) is also supported by some engines and is quiet convenient for debugging as you can read the raw file. Milkshape3D is one of the most practical formats if you have simple dynamic models like vehicles (1 influence per vertex so not characters).