blender is great and is free.
Has also a option to export to directx.
A lot of tutorials to find on youtube or anywhere.
Milkshape is also a very good program. not free, but cheap. and can export to directx
Fragmotion. you can use for free, besides the annoying popup.
deled
wings3d.
Personally i would choose and start to learn with blender.
If you have enough money.
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3ds max. or maya.
Gr
Harry