gmax only supports the packages that are made for it. The idea behind gmax is that they release gmax then the game maker buys the rights from kenetix to create a package that can be loaded into gmax that will allow you to export models for their game. It may be levels, or characters, or whatever. It''s what they allow you to do. As of now I think that flight simulator 2001 has a package out allowing you to make airplanes, and then there is the quake3 package that is out that lets you make models and levels.
~Wave

Being a 3D Model''er since 1997 (http://swtc.telefragged.com) I''d recommend milkshape
http://www.swissquake.ch/chumbalum-soft/index.html

Its a cheap tool, only $20, and supports many game formats as well as DirectX model format (.x). The interface is a little crude in my opinion -prefering the single window Steed style modeling myself- but its more than compitent and a great alternative to gMAX or 3D Studio MAX.