There is a list in the documentation that lists all the differnt file types that GDK supports... officially it supports them all, but in reality, unfortunately due to formats evolving and changing over time and between developers, it supports some alot better than others...
The DirectX .X format I would say is probably the best supported external 3D file format, the best solution would be to write your own importer to do what you want it to, with your own format... but thats a complex thing to do... to export DirectX files from 3DMax.. use PandaSoft PandaMax DirectX exporter... its one of the better supported free exporters available.
If it ain't broke.... DONT FIX IT !!!