http://en.wikipedia.org/wiki/3D_computer_graphics_software#Major_packages

you must export them.

Out of battery !

If you have the money, I would personally suggest Autodesk Maya. If you do not, then perhaps Blender.

As for exporting for mapmodels, monsters, and weapons.. you will have to figure that out the hard way. ;)

I personally use 3DSmax for MD3 and MD5.

MD3 exporter plugin:
http://katsbits.com/files/md3/Max6ExportMD3.zip

MD5 exporter plugin:
http://home.mnet-online.de/der/3dsmax-md5exporter.zip

For static(non-animated) models use OBJ
I use Silo2 mostly for OBJ.

I have Platinum Art's Sandbox 2.5 and it uses the .md3/.md5 models as well. There are tutorials in Youtube on how to make them in Blender. Much luck!

12 months of pain makes me eligible to post something about this. I think I can save some suffering. We started off trying to use Blender, and all I will say is I would rather have burning hot pokers stuck in my eyes than use it. The packages we have used are windows only 3DStudio Max, its freeware little brother Gmax, and the cross platform Milkshape and the little known but useful Misfit

md2
Misfit3D
- handles and coverts old quake formats well. Can view and make animated md2 (and 3)
- good entry level package, good docs on the quake file formats.
- OS, versions for W32, Nix and ?Mac
- Shame its a dead project, its still got a few bugs. Someone should pick it up, add an md5/iqm plugin

md3
Misfit3D
- If you have the quake config file set up properly it can view multipart animated md3 live
- can do skeletal modelling and save in its own skeletal format or as a Milkshape file
- can load a skeletally animated Milkshape file and convert it to a vertex animated md3 (very useful)
GMax - good exporters, often better than Max, 'cause there is no version issues
3DStudio Max - Walter exporters from 2010 sometimes screwed up, and the md3 mech model never succesfully animated in RE. Still don't know if its the config, the mesh or RE handling of md3. I would strongly suggest you don't try to use an md3 as player model in Red Eclipse.

md5
3DStudio Max
- the 3rd party md5 exporters can be buggy and very version specific
- we could not export the mech successfully from Walters (the artist) Max 2010
- Walter exported the mech an smd model and I converted them to md5 with Max R9/Quake ET md5 exporter

smd -
3DStudio Max, Gmax and Milkshape all imported and exported well.
- I dont know if any of the cube engines can use these as a player model,
- I couldnt get them to animate as a player model in RE despite a lot of effort
- the exporters/importers for Max and Milkshape are more robust than the quake ones
- makes a good format for transferring skeletally animated meshes
- Milkshape provides good tools for handling the complexities (decompliling etc) of the half life formats.

iqm
- I tried compiling an smd to an iqm with the tool in the sdk without success
- Blender is the only package with importers/exporters which would seem to limit the future of the format no matter what its good points

Noesis is an excellant file viewer and convertor and comes highly recomended.

I'm not a modeller, most of what I have had to do is texture/configure/convert models, and the apps probably reflect that. Solidworks sounds great, a more 'artistic' modeller for real artists! Sculptris is another mesh orientated app which users a brush metaphor. It can export obj meshes and it would make a great ipad app.

My impression is that Max is used about half the time in professional shops ( I did a quick check, they have 44% market share) so it's a case of you can't go wrong with Max, unless of course you happen to have crappy third party exporters for your artists version of Max.

Misfit came as a revelation after getting nowhere with blender. I was looking for something to view some quake mechs, animated and textured. I had tried a few 'quake tools' but found them buggy and malware infested and I stumbled upon Misfit. The first file I opened with it was a multipart md3 Gundam mech, and in seconds I could turn it around, zoom, view animations etc. It had a real impact.