I have to say that I agree, 3d content creation (and importing) is very tricky.
I have plumped for blender, and I have gradually got together a process for making models, texturing them and exporting them, but it has been tricky.
(very very simple models, no bones, single mesh)
Although the information is out there on how to do stuff, it is very dispersed. If someone started an XNA-Blender site, that had end to end examples and documented the odd little nuances, I could see the combination quickly becoming very attractive to newer developers.
Good luck with your modelling!
J