The max exporter can:
-export static meshes
-export rigged meshes (but only rigged with ‘bones’ or a biped system) both skin and physique modifiers work
-export animations as long as the animations are based on bones or a biped
-assign color, gloss, normal and glow textures automatically (as long as there are in the right slots)
-generate tangent/binormals if needed
-export vertex and/or polygon colors
-Point helpers can be exported (the loader turns them into empty nodes with a location/orientation)
The max exporter can’t:
-export lines (splines, nurbs)
-export morphs (here’s a workaround: Morph maker)
-export multiple UV sets
-assign some texture modes like “normal_gloss”
-can’t set alpha value for vertex colors (at least I didn’t find a way)
-add custom tags
-export animations using controllers (like making a bone follow a spline)
-export animations using modifiers (like using a ripple modifier and animating its parameters)
-export procedural materials (or in fact any materials - things like glossiness or specular levels are ignored)
-can’t export cameras, lights, space warps and most other objects unless they are converted to a mesh or poly
-can’t select wrap modes nor min/mag filter methods
-can’t export 1D, 3D and CUBE_MAP textures (but I don’t think you can use them in max anyways)
-can’t set tex-gen (like EYE_SPHERE_MAP or WORLD_CUBE_MAP) or combine-modes
-can’t set bin, draw-order, depth-offset, depth-write, depth-test, visibility parameters
The most important things work, most of the other things can be added by hand editing egg files (it’s simple) or writing some small programs.
It depends a bit on what features of 3dsmax you want to use.
EDIT:
One more thing - the max exporter always turns all polygons to triangles, even for collision meshes, so if you have a collision mesh that’s made from quads and higher order polygons you can export it to waveform OBJ and then use the obj2egg program - it will keep the quads.