In my experience, .X models work depending on how you export it. Example, I model in 3DS Max 5.1 and use the PandaX exporter. If I apply UVW Mapping to an object and export it to .X without "collapsing my stack", the .X file will not load in DBPro.
The reason is this, the "collapsing my stack" actions removes all of the modeling "history" of my object, and DBPro does not know how to use that added information if I dont't collapse.
Other Proggys like Milkshape and Truespace, I don't know. I guess you could say I am set in my program use as I only use 1...MAX
hope that helps