I also use Max 9, but for starting out (and those that aren't loaded with cash!) I would recommend 
Google SketchUp, 
Blender, or 
Gmax.
The advantages:
SketchUp is relatively easy to learn for those that haven't used any kind of modeling software before.  There are also plenty of readily available meshes on Google that you can download and look at to get references or ideas.
Blender is a very versatile program that can do most anything that some high-end programs like 
Lightwave can do.  It also has the advantage of constant updating and revision, so that you're continually using the best of what the program has to offer.
Gmax was a wonderful program for it's time (around 2002), since it was the little brother of the Max version at the time.  It can do most anything that Max can do, with the exception of rendering and some of the more complex animation modeling.  I started out using Gmax to model for Microsoft Flight Simulator, and then graduated to Max 9 not too long ago.
The disadvantages:
SketchUp's rendering software is minimal.  The renders tend to be very cartoonish, and have little depth quality.  It also has simplistic modeling, so that something modeled with SketchUp would take a shorter amount of time for someone who knows the ins-and-outs of a payware program.
Blender has it's own onboard game design system, but seems to have trouble going to other platform types to convert to other games that require dedicated model types (like Bridge Commander).
Gmax cannot convert to Bridge Commander right now, and it's possible that it never will, since support for it was withdrawn in early 2004 right after Discreet (the creator company) went belly-up.  Since then, TurboSquid has taken on the responsibility of providing the activation codes and whatnot, but there is no support or development being done for it professionally.  There are several people who create scripts for it, and some may be able to get it to do other things, but not many.  It also has no rendering engine onboard, so you can't get any pretty pictures out of it.