What file formats does it import?
If it's .x there some quite good programs out that export them nicely, however if it's a more specialised file format, it might be worth looking what apps have that exporter - if you tell us what file formats it handles we might be able to kick up a list of apps we think'll do the job of exporting properly?
Milkshape3D has the biggest number of compatible exports for engines at it's low price and in my experience, exports nicely - though it's really only good for animation, making sure all the material are applied and exportation - chances are you'll need to use it with another modeller, which there are loads of recommendations there, personally I prefer Silo for modelling. Silo and Milkshape can make good friends.
"Experience never provides its judgments with true or strict universality; but only (through induction) with assumed and comparative universality." - Immanuel Kant
