is there a script to import gmax files into blender? 
GMax files are not explored in a way that only Discreet knows how they work. So only the GMax application can load and save those.
It would be cool though. 
You perhaps can import an md3.
Thereās a legal import/export plugin for use with gmax and md3 that works well : mojo.gmaxsupport.com (is called gmax beta md3 or something, once there)
Donāt use the old Id plugin for gmax(usually found at discreet site), āTempestā. that has too many problemsā¦and issues for a comercial use.
But any md3 is limited to 8,192 triangles. The import from bob holocomb I think works for only static meshes. And you have md3 import full in gmax, so , as just now has been released and md3 plugin, you could also animate in blender and export that to gmax.(and even max, same gmax guy has a max md3 import/export plugin, too)
You could also go that way via MD5, if you want to transfer the skeleton and skin-weights, too, and without any polycount or vertexcount limit. The MD5->Blender importer script currently does not import animations though:
https://blenderartists.org/forum/viewtopic.php?t=32140
There are two MD5 exporters for gmax, one by Berserker:
http://www.doom3world.org/phpbb2/viewtopic.php?t=4618&highlight=
and one by āUltimate.pfā, based on my 3dsmax->md5 exporter:
http://www.doom3world.org/phpbb2/viewtopic.php?t=1914&postdays=0&postorder=asc&start=80