Blender exporter is cool way.
Caus buying 3DSMAX just for playing is very high price !

In Indie domaine there is no professionnal skilled NExt Gen team : You won't see Gears Of War 2 like pictures
Lot of people here are beginners , indies , people not sure to make a game :
A LOT EVEN WILL NOT SALE ANY COMPLETE GAME WITHIN YEARS OR NEVER !

UT3 si really for Next Gen, if you plan to use simple charaters and levels without normal maps, just stick with more indie engines.

Ask you that questions :
- Am i lonewolf or do i have a Next Gen team
- Will i be able to make a AAA game , that needs a AAA Engine
and Big Tools ?
- Do i have great 3D Next Gen Skills , do i have already
showed next gen things in forums ? to need Zbrush and 3DSMAX

To play, and finally sell nothing , Blender exporter for Unreal really sufficient i think.
(people targetting to work on 3D industry, well it's another story and they can buy expensive tools and use UT3 , it's another totally different story !!)

Even with UT2 free to do mods for years , there has been no game made with it that have been on shelves or that have
made talk a lot about it !

I think it will be the same with UT3 : lot of people playing,
only some two or three real little professionnal studios will perhaps show and sell something.
Caus over 5000$ , the price can be fairly hight.