I'm not talking games. I make poser conforming figures (clothes) and props in gmax - then export them as QIII models - then import into MilkShape - then resize and export as .obj files. I also use UV Mapper, Detriang and poser's grouping tools to finish them.
No kidding - if you know how to use max (there are plenty of free tutorials on the net) you can make some amazing stuff for cheap.
Only draw back to this is with MilkShape: It can't handle large files. It crashes if my model is too complex.
What I do is export in parts (if the model is too complex).