FBX (Filmbox, acquired at some point by Autodesk) is the format that I find most useful, as it transfers locators, animation, lights, and cameras, and sometimes simple shaders. It's not universally well-implemented, though, even by Autodesk, so it can be tricky to get consistency out of it. Alembic was supposed to be the end-all of open 3d interchange formats, but some software treats it like a black box—you can't break it open to actually use what's inside. Hopefully it will get better in the next few years.

OBJ is still great if all you need to move is a mesh and textures. I don't have much experience with COLLADA beyond that one project. It's supposed to support a lot of features, even physics simulation, but I haven't run across it in production yet.

Z-Brush is sculpting software that subdivides a mesh into a very high-resolution model that can take fine detail. It usually then exports a normal map so the high detail can be rendered on a low-poly model. It's good for creature work. Rhino is a NURBS modeling tool, which is analogous to vector drawing in 3d. Most 3d software can do NURBS modeling, but Rhino is specialized for it. NURBS isn't seen often; usually you will only find it in CAD work where polygons and subdivision surfaces are insufficiently accurate. If you're programming a manufacturing process, you need a surface that's actually smooth instead of one that simply looks smooth. But NURBS make too many other things difficult to be widely used for most purposes.