I'm looking for an efficient way to export my 3D Models from 3DSMax, or GMax to OpenGL.

Code your own model loader:

Export to XYZ format, code a loader for your game that assembles the data in a way it can be consumed by OpenGL.

Code your own exporter:

Code an exporter for 3DMax that exports the geometry data into a format of your own (preferably binary, which is compact and faster to load than text files).

Code your own tool:

Export into XYZ format, and use an offline tool that can convert it to a format of your own that can be easily uploaded to OpenGL.

Using your own binary format would be the fastest way to get data from the disk to the GPU, coding an exporter for 3DMax would be the most convenient. Coding an importer in your application might be the less amount of work but decoding the data won't be as fast as reading binary and plugging it to a buffer.

I think the best way to go about this is to create a mesh loader base class. This would be an abstract class so you would likely only have a single load mesh method. You then create multiple base classes, each base class loads a different file format. You could have your obj file loader, an fbx loader, or even your custom file format. I would also strongly recommend you use existing loading libraries. Assimp lib3DS. You then have a manager class that holds all of these loaders. When you ask the manager to load a file, it looks at the extension and decides which loader to use.

This way, you can add any number of loaders easily. You can use obj, 3ds, or any other format in development. Then, if you need to improve loading times, you can write a utility program that converts the obj or 3ds format into your own custom binary format that is designed to load quickly. You would then add a mesh loader for your custom format.