No easy way to move Poser animations into UnrealEd.

For 3DS Max, I'd recommend the BodyStudio plugin, if you can afford it. It's by Reiss Studio, and will allow you to transfer your character animations, including Poser's dynamic cloth and hair.

Muzzle flashes, explosions, and running water might be simulated within Poser itself by means of animated materials. Take a look at JPeter's products here in the Marketplace for examples. They were created with Wondertouch's particle-effects software, particleIllusion.

DAZ brokers a couple of Poser plugins that might also be of interest: MetaForm (a metaball generator) and Particles 2.0.