Unity handles the importing of assets quite smoothly, and there aren't that many issues that you will encounter, as long as the actual assets are without issues themselves.
Firstly, we will talk about 3D formats that are recognized by Unity.
Unity supports a number of common 3D file formats, namely: .FBX, .dae, .dxf, and .obj.
Among 3D application files, Unity supports 3Ds Max, Maya, Blender, Cinema4D, Modo, Lightwave, Cheetah3D, and many more (through conversion). Chances are that your preferred modeling tool is among them.
Note
Deciding which application to use is completely up to you, as there are a number of pros and cons when dealing with each.
When exporting into common 3D file formats (.obj for example), you will gain the advantage of:
Having smaller file sizes.
Being able to export from 3D apps that aren't supported by Unity.
Being able to handpick the data you want to export.
However, there are few cons to that approach:
They are harder to iterate...