I'm coming to the conclusion that 3DS is a nicer file format, and most programs will import and export it. All your data is in one file (not your textures, obviously, but there's no separate material [.mtl] file to be found), the file is generally quite a bit smaller than the comparable .obj file, heirarchy is maintained, and I'm thinking lighting/shading is also maintained as well. Wavefront object won't do those things...
In closing, my second-hand experience with Max suggests that it's one of the *****iest programs ever when it comes to opening files that aren't in its native file format. I could send AC3D and Blender the same .obj file with no problems, and Max would have an issue with that same file. You've been warned.