.obj is really simple and easy, but you will reach its limits really quickly (e.g. no animation support).
Collada is an open standard, but it is somewhat complex and have not always the best support of modelling tools, though I use it in my converter.
FBX is a Autodesk standard which is widely supported.
In general I would always sugguest to use one of the major exchange formats, that is either FBX or collada, and write a converter (not an tool dependent exporter!) to your own internal, binary format, if you really what to use it beyond a simple demo. FBX and collada are both text based formats which are really bloated with data you don't always need.