Unity supports importing Meshes from two different types of files:
Unity can import and use both types of files, and each come with their own advantages and disadvantages.
Unity can import proprietary files from the following DCC software: Max, Maya, Blender, Cinema4D, Modo, Lightwave & Cheetah3D. Files imported this way are converted into .fbx files by Unity during the import process.
Note: Assets saved as .ma, .mb, .max, .c4d, or .blend files fail to import unless you have the corresponding DCC software installed in your computer. This means that everybody working on your Unity project must have the correct software installed. For example, if you use Maya to create ExampleModel.mb and copy it into your project, anyone else opening that project also needs to have Maya installed on their computer.