I find that FBX works fine with Max (although you need the latest version). Best results seem to be using N-Gons.

I put a car paint shader on for this rendering just because I never used it before. Later I tried the Arch n Design materials and all the reflections got goofy. Also, when you import the scale gets goofed up. So it's by no means a hassle free process, but it's nice to see that the Max team is starting to consider solid formats more.