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.