One thing I do a lot of is "tear apart" my models and texture parts individually. In the example below I was going for fairly high resolution texturing (40px/foot), this smallish building uses 5 individual 1024 pixel texture sheets. Two 1024 texture sheets come together at the center of the building for example, therefore it's easy to split up the two front faces, create a material for each texture sheet, and apply/map that to it's corresponding surface. I learned this trick while I was building the silverado HD in the McCall thread, but I use it more and more every time I model because it just makes texturing so much easier - especially useful as my models get more and more complex. Maybe everyone does this and I'm just now catching on, I don't know

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I build the basic geometry as I would any other object, but when it comes time to texture it I "tear off chunks" and texture them individually. With "select & move", in "edit mesh > polygon sub-object" mode, select the face you want to texture, hold the shift key down and drag a short distance to clone the face. "Clone to Object" and give the part a meaningful name like "wall_front_west" or something. Re-select the original poly you just cloned and delete it. Next select the newly cloned part and snap it back into position with "snap to vertex" on.
Now you can apply one of your texture sheets/materials to the part, and since it's just a flat plane, add a UVW map modifier using "planar", and set the size in both directions to whatever distance 1024 px on your texture sheet covers. For example if you're texturing at 40px/ft, 1024/40=25.6 so set both dimensions of the planar map to 25.6 feet. With that you can use the "gizmo" to move or rotate the texture sheet onto the part closely enough that you really don't even need a UVW unwrap modifier - I usually use one anyway for fine tuning however because with the gizmo it's a little hard to get 2 texture sheets to come together perfectly without "pixel snap", which is available in the UVW editor.
The coolest thing is that you can clone textured surfaces and use them on other parts of the model by just assigning a different material. "wall_front_west" can become "wall_back_east" for example by cloning it, rotating it 180° and snapping it into position on the back side of the building. Then just apply the appropriate material/texture sheet and you're done. "wall_front_west" can become "wall_front_east" by simply cloning it, adding a mirror modifier to the stack, and applying the appropriate material.
Here I've shuffled the individual faces of the building around to illustrate what I'm talking about, with everything snapped into position the building looks and exports like any other gmax building:
(no, I didn't save the model that way

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Jim