I really love Milkshape, it's very simple so even I can create decent FPS ready material. Milkshape can create models, apply textures, animate, import and export to many formats, and many other things.
Although 3DSMax is very powerful and very expensive, I do believe that's what most pros use, that and Maya. Anim8or never really floated my boat. Blender was way too complex for my small minds. Wing3D's learning curve was a bit too steep for me, I had trouble navigating, etc.
You should get a more non-biased opinion from someone else, though. I love Milkshape and use it so often, so I'm gunna say Milkshape.
EDIT: Been looking 'round and saw that AC3D looks extremely powerful. There's also another program that is piss-easy to use, but I seem to have forgotten what is was called...hm...

- You know you're curious