Yes. They have an import plug-in for Max, though Max is an expensive software. Because of that hey also support the ASE format (to import static meshes), also primarily an simple ASCII Max Format, but it can be produced by other modelling tools as well.

Besides that you can also use the OBJ (wavefront object) format to import static meshes.

For animations they use the Max plug-in or the CAL3D format. That can be created with tools like Blender and Milkshape. CAL3D is an open-sorce format very similar to FBX.