In theory, every program which can export to a file which Milkshape can import works well. But the main three I know (and have) is Milkshape, Gmax and Metaseq.
Milkshape is an essential tool, though since the CMP, MAT and SUR exporters are only for Milkshape available.
I use Gmax then Milkshape. Gmax is quite easy to use and i know of atleast 2 full guides that show how to use it. Can send you one if you like, drop me a PM if you do.