In my experience (which isnt much) the best 3d format for what we do is ms3d because it is simple and customizable. The reason i stayed away form md2 is because you cant have custom animations (at least i think you cant). Im not too sure about md3. The advantage of md2 / md3 is that they were specifically created for games so you are garanteed that you''ll have all the tools you''ll need. Im not sure if .3ds does everything in 3d studio max but if you want a model format that does almost anything go with 3d studio formats (im not sure what the native format is) but be warned - you will have many sleepless nights coding a loader from scratch.

For what you''re describing i suggust milkshape since you are using milkshape to do the modelling - you can easily find out about the format through the milkshape sdks. The only downfall of the format is the way the animations are stored - all bunched up at the end of the file in a continous animation. Its not too practical for things like running then jumping then running. But that is easily fixed with some creative coding.