the fbx format supports a lot of stuff which isn't very useful for most game engines at the moment (nurbs, materials which don't map well to vertex/pixel shaders, modifiers, constraints, IK, ngons,...). there also are different ways to handle things like edge smoothing, custom data,... so using fbx to go between applications really can be an unpleasant experience. it seems to be even worse with collada.

i still prefer to work with exporters to the native engine formats if possible.