I used .x and .ms3d until now, both works perfectly!
info from documentation:

Esenthel Engine supports importing of following mesh formats:

3DS - 3D Studio (mesh, materials, no vertex normals)
ASE - Ascii Scene Export (mesh, materials)
B3D - BlitzMax (mesh, materials, skin, skeleton, animation)
BVH - Biovision Motion Capture (skeleton, animation)
DAE - Collada (mesh, materials, skin, skeleton, animation) - Most Recommended
FBX - Autodesk FilmBox (mesh, materials, skin, skeleton, animations)
MS3D - MilkShape3D (mesh, materials, skin, skeleton, animation)
OBJ - Wavefront OBJ (mesh, materials)
PSK - Unreal Engine Model (mesh, materials, skin, skeleton)
PSA - Unreal Engine Animation (skeleton, animations)
WRL - VRML97 (mesh)
X - DirectX (mesh, materials, skin, skeleton, animations)

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Blender
Exporting model without skeleton and animation from Blender:

The best way is to use native OBJ exporter.

Exporting model with skeleton and animation from Blender:

For Blender >= 2.50 the best way is to use built-in FBX Exporter.

For Blender < 2.50 the best way is to use Gandaldf's B3D Exporter ( exporter1 , exporter2 ).