FBX tends to vary quite a bit by application (how well they support it), but it should support the importation of lights and cameras, but not procedural textures. It's been a few years since I tried it with Max, but as I recall it worked fine. There used to be an issue with Maya (I think it was reversed camera). Not sure if that's been fixed or not.
You might also try Collada, which is a somewhat newer and more open format.