3ds max is mostly used for vehicles and buildings. There is also a program called Maya (both 3ds max and maya are from same company) that people use.
For characters, if you want detailed (ut3 based characters) people use Zbrush, its the most common one. 3ds max is used for characters also, but low detailed ones like ones in C&C renegade, and RTS game because they dont need much detail to it.
If you are trying to figure out witch to start with, i would recommand characters because its the hardest one and the easy ones would be left for last. My choice actualy was buildings and i think i succeded at it but i cant model vehicles and characters. It seems easy to model vehicles, but i dont have good imagination of what scale stuff are and what kind of details should the vehicles have.
Good luck!