Pretty much any 3d application can either export a .x file, or has a plugin that enables it to do so. As for creating chess pieces, these apps do not automatically generate complex shapes such as chess pieces automatically, you have to create whst are called primitive shapes(spheres, cubes, cylinders) and deform them to resemble the shape that you desire.
If you are looking for a free 3d modelling tool, i think(given you are reay to learn first) would be blender. But dont think that you can load up the tool, and create what you want straight away, it takes time to learn what each tool and shape does.
Here are some tutorial sites.
http://www.blender.org/education-help/tutorials/
http://www.tutorialized.com/tutorials/Blender-3d/1
I am sure that there are a lot more, but i am not a blender user, so maybe asking Kira, Camo, and there are a lot more users here that can help you out.