Wavefront .obj file format.
Can be imported to UnrealEd and possibly exported, but that seems to be broken for me.
Can be opened by most editors.
Note
OBJ-Export support is only available in UT2003/UT2004.
How-To: Export Level content to OBJ
Create a big subtracted brush and insert your favorite StaticMeshes. Go to the main menu "File -> Export" and export this content to an OBJ file.
For more information go to this website: http://www3.sk.sympatico.ca/kelbeau/max2ued/html/17.html
Radiosity: You don't even need to subtract - just add the mesh directly to the level and export. Make sure you set the pivot point of the mesh where you want it to appear in 3dmax. Also, bear in mind that only the first UVMap channel will be exported, so you will lose any additional textures the mesh might be using.
OBJ-Plugins for 3DSMAX
OBJ2MAX for 3DSMAX 4 & 5: http://www.habware.at/duck4.htm
OBJ2MAX for 3DSMAX 6: http://www.habware.at/duck6.htm
Comments
Legal: Is it just me who can't export any brush OUT of UED?
Jan: Note, How-To and Plugin information added