I disagree.I use Milkshape for modeling and so do a lot of other people,including Psionic.
You should all check out the book "3D Game Programming All in One"
It is a kind of bible for making 3D games.
Even if you do not use it for everything the fact is it will come in handy for anybody who is into making 3D games.
It also has information and instructions (a hands-on kind of thing)
on how to use programs like Milkshape,Paint Shop Pro and UV Mapper.
I highly recommend it.
The fact is that I recommend Milkshape for simple reasons.
You can make a model fairly easy,save it,UV map it,load it back in,apply the texture,animate it and export it to .x.
Sometimes it can be a pain to figure out how to do things with Milkshape (animating was one thing that drove me up the wall) but usually once you figure out how to do something with Milkshape it is pretty easy to do again.
Some people don't like Milkshape and that is fine.Your best bet is to check into as many modeling programs as you can.Even if they aren't free (Milkshape runs around $25 USD) most of them still have trials/demos and there are excellent free modeling programs too.
I think Keith has a list of them in the stickies at the top of this forum...if not,I know he has them memorized and he might drop in and post them here as is often the case.
In the end only you can decide what modeling program best works for you.