Milkshape is simple I agree, I played with 3D studio and Max a while back and for game models I think it was a bit Over the top.

As for exporters what I did was to write a command line converter for the milkshape models into a xml based format for the project I'm working on. I also allowed me to do some Triangle strip optimizations and pre calculate edges etc so that my app doesn't have to bother do that at run time. The results are quite good, it might be an idea rather than writting your own exporter just write a converter from an existing format that you have code for (3ds, lwo, obj, x, or ms3d).

Keep me posted on how you get on with blender