There is a 3dsMax exporter available. Most of the Unreal Editing sites have it. FilePlanet's probably got it too.
There's an exporter for Lightwave, but I don't think it's public.
For any 3d program you can use the following trick (it'a a pain in the ass, but it will work with any 3d program). You will, however, lose your texture placements and have to do them in QME.
You will need:
A 3d modeling program
QME (Quake Model Editor)
Crusher (Quake to Unreal translation program)
Make your mesh, animated or not.
Export it as a .dxf file. If you have an animated mesh, export every frame you want to use as a separate .dxf file.
Import all of these .dxf files into QME.
Apply your textures.
Save your file out of QME as a Quake2 model.
Use Crusher to translate your model to an Unreal model.
-I
