Well as for myself I use 3DCanvas. I have found it to be a great cross between the simplicity of Milkshape and the feature set of 3DMax. There are alot of great official tutorials for using it that can be found right on there website. 3DCanvas is capable of exporting in nearly every model format you would need for game development, and best of all it costs very little when compared to lightwave, 3DMax, or Mya.
Here is a link if you want to know more.
http://www.amabilis.com/