Export object WITH materials and then import it back

I have an object and want to export it from blender and then import it back to another scene i’m creating. But with every export extension I loose materials! How to solve that so materials won’t get lost in exportation?

Just use Shift+F1 to append from one blend file to another
http://wiki.blender.org/index.php/Doc:2.5/Manual/Data_System/Linked_Libraries

Thank you Richard so much.