Depends on which version of Max you use…if is an old one, you may need an obj importer for max in places like(in this case is for max6, surely works in some others) : http://www.highend3d.com/3dsmax/downloads/plugins/utility_external/import/2699.html
If is Max 9, if I remember well, no need to put a plugin, it imported already the obj format…
For the materials… You usually need a .mtl file exported from blender or whatever the tool, there the exporter did specify which textures to point to, and other materials settings. The vertex normals (smoothing) is already in th e.obj file, or should be, as well as which faces are applied to which material.
Traditionally tho, you needed to rebuild the OBJ smooth groups once in Max, and create or edit the material in material editor and point there to your textures. Probably now Max 9 does import it much better.
The uvmapping goes already in *.obj : is more a matter on the quality of the tool’s(Blender in this case) exporter, on what you selected to export and what not, and of course, in the quality of the Max plugin to import the obj.
I used OBj a lot as exchange format with Blender + Wings3d to port into Max, in several salary-jobs, and my workflow was not slower, but , while I shouldnt say, was faster. I never modeled really in Max. OBJ pipeline I had available by then, had those issues, and yet , I compensated with other faster moments. I’d bet the import of OBJ, native now in Max 9, is way , way better these days.
Just play with it all, be patient, as it indeed works.