MD3 exporting works great - I myself use Half-Life's SMD and then use dpmodel to compile it into md3. I just like having all the animations in a separate file - so if you need to edit it - import animation, edit, export and recompile. Setting up the qc file is VERY easy.
There's only 1 issue with doing this is you then after once compiled into md3 - use a md3 editor and delete frame 0 or animations in other engines will be bugged (will show the model unanimated on a single frame)