You can use Max for shadow baking but I wouldn't recommend it because if you have illegal version of Max and at some point you decide to turn your project from non-commercial to commercial you will have to buy Max or re-work all the baked shadows. Blender is free and in this case just as good as Max.

For Nowherebrain :

If you are talking of implementing the Blender-baked lights as a second skin (shadow map) for mdl files here are the steps:

1. You have your model with textures and everything opened in MED.

2. Check the Activate second skin set to go into the second skin mode.

3. Do the Create Atlas Mapping to create blank atlas texture with different uv's. Somethimes it bugs-out for me if model is too complex (more then 20.000 faces). You can see if Atlas bugged by saving & exiting MED and then opening MED & model again. If Second-Skin-Texture on model don't have some black faces sticking out and it's all pink then everything is o.k.

If it bugs and it's static (like rooom or something) just brake it into 2 or 3 models.

4. When you have good Atlas-mapping done you go in Activate second skin set mode and from that mode you export model to FBX. Your model is now exported to FBX only with second skin & second uv set.

5. Use FbxConverter from:

http://usa.autodesk.com/adsk/servlet/index?siteID=123112&id=6839916

...and convert FBX to OBJ.

6. Open OBJ in Blender and make shadow map. Save image and just replace the old pink image with the Blender-baked image in MED. Your done.

Hope you where talking about this process and not something else...