Yep...depends on the conversion app though... Try Deep Exploration or Okino PolyTrans...

To convert from a Max file directly to LW, you will need a conversion app. There are other formats (.3ds and .OBJ) you can/may export from Max that will work in LW, albeit you will lose a lot of the content. Unfortunately in order to make the conversion with 99.9% accuracy you will need a seperate piece of software. Deep Exploration by Right Hemisphere is very good as well as PolyTrans by Okino. However, neither app will convert unless you own a licensed/installed version of both 3D apps. If the software is not a choice at the moment for you, I would gladly convert items for you, of course with a nominal fee. If you're interested, please feel free to email me: Andrew at SlomoStudios.com (Change the "at" to "@") and Im sure we could work out some sort of arrangement.

Best bet would be fbx file format... That should support most of the model and animation rig.  I don't think fbx plugin for LW works prior to version 7 though.

I have read about an really old plugin that could do LW2Max, and I think it was actually called LW2Max, but I don't think it's been available for years... and I don't know if there's anything like it that can do Max2LW.

3ds can work, but it's really a limited format.  .X might work to, but the plugins for it are probably not a lot better than 3ds.