Hi Kirk, I'd recommend using FBX format for the best results into Max, but you also need to make sure that you update your Max FBX import plugin to the latest version, versions older than 2009 had various bugs in the FBX importer.
Thanks you for the help. I have found a solution actually. It's necessary to check off "Somoothing group" check box in the fbx import dialog. That way it goes to max ok.