Stay away from IGES, it's old and doesn't work well even though Maya/Max support it. No one can agree on how to handled trimmed surfaces (128) and you end up with a lot of orphan patches etc.

STEP is good, but my experience in loading this format to Maya/Max isn't good as they still don't seem to treat the surface patches consistently. Especially if what you want to import is an assembly of components.

Normally I'm using Okino with Maya to direct import and tessellate.