I have Ultimate Unwrap, Milkshape3D and 3dsMax. I'd rather not have to load another piece of software and mess with Import -> Export.
The great part about Silo3D is that it's lightweight software (boots up about as fast as Notepad) and it natively supports OBJ.
All I have to do is press CTRL+S to save an OBJ. Then press F5 in AppGameKit to see it in-game.
OBJ is elegant and clean, just raw polygon and UVmap data.
DAE is XML based, yuk!
FBX can be a bit bloated for game use, it's intended for interchanging between 3D software.