-FBX : an AutoDesk format designed for interoperability
-.dae : Collada format *
-. 3ds: 3D Studio Max
-.dxf : Drawing Interchange Format, a format used for interoperability between AutoCad and other programs
-.obj : Wavefront Object, an open and fairly common 3D model format
If you are working in a 3D modelling application and are able to export in one of these formats, Unity will be able to read it. Export the file into the Assets folder and the object will appear in your Project panel in Unity. For best results, always import as .fbx or .obj files. Unity works best with these particularly when it comes to scale.
Autodesk supplies a free FBX converter on their website. You can find it here: http://usa.autodesk.com/adsk/servlet/pc/item?id=10775855&siteID=123112.
● Cinema 4D
● 3ds Max
If you save the scene from any of these modeling packages to the Asset folder you are working in, Unity will automatically import them in the project. You can freely go to and fro Unity and the modeling package and all edits will be reflected in Unity.