3dsmax has a buildin exporter to Wavefront .obj file format. Its an easily readable ASCII model/scene format. To get it running into JOGL u could use my
WavefrontObjectLoader.java or use any other .obj->jogl loader (there are half a dozent out there).
Other than that I would suggest using Blender for ur OpenGL modeling. Its much more open and u find a lot more tutorials and help (or even code snippets) on the net.