OBJ is the most reliable format at the moment for transferring between applications… it transfers 3d model, material allocation (and basic texturing) and uv maps…
i believe dae / 3ds / fbx can handle animations and more stuff, but their implementation into blender is still being improved.
For example, exporting from Blender to Max, your Yafaray materials won’t import already set up as V-Ray materials. However, if you apply the imported materials to your objects they should have textures and UV coordinates (or at least UV coordinates).