Milkshape is the idea solution for most people, its cheap and quite powerful, in addition it is updated fairly quickly and new export/import plugings are developed all the time. A good addition to your 3d tool kit would be 3d Unwrap.. for your texturing needs. The next in line I feel would be 3D Canvas, quite powerful and updated on an ongoing basis, although a bit more expensive then Milkshape. Softy 3d is a neat little program if you want an interesting and easy way to make oraganic looking models. I would realy stay away from playing around with Gmax exports.. its not realy legal if you look through the agreements. I think for a 100 USD you can realy equip yourself with very decent software. (for those of you who need a great 2d software.. use GIMP there is a windows version and its just as powerful as most of the commercial software, and the great thing is that its free) Here is my budget development package:
Milkshape 3D www.milkshape3d.com
Canvas 3D PRO www.amabilis.com
Softy 3D www.softy3d.com
Ultimate Unwrap3D www.unwrap3d.com
CharacterFX www.insanesoftware.de
Light Map Maker www.windssoft.com
Cheers,
DrD