So far I have taken somewhere in the range of 5 days working with various Maxscripts to handle exporting into Away3D 4, there are many options for different formats. Some with better results then others.

Good old 3DS format
Everything seems to accept 3DS these days, yet even though Away3D supports this format they do not support the key-framed  animation contained inside of the 3DS format. This makes it probably the simplest format for non-animated props.

MD5 format
I have gotten this format to work, but with a few caveats, the only exporter I found that works fails if there is no skeletal data for the mesh you are exporting. This makes MD5 only good for character animation or animation that uses bones and is to be controlled inside of your engine, like a crane for example.

The exporter I am using can be found here, MaxMD5 exporter.

AWD1 and AWD2 formats
These are Away3D formats, AWD1 is the currently defined format and is a ASCII AS3 class that supports Key-framed animation, textures, static mesh and is viewable via prefab. The AWD2 format specification is not complete so no exporter is available as of yet. I will post a version once it is.

The exporter can be found here: 3DMax AWD1 Exporter.