Gmax is ALOT better than milkshape. gmax is kinda like a freeware version of 3d max, only the renderer engine is gone and no character studio and *very* limited file formats supported (for now atleast). there might be other differences.
the problem with Gmax is that it doesn't support half-life. the only way u can export your gmax models to half-life is if you have milkshape. so u will need milkshape anyway, and hey, 25$ isn't much is it?