Milkshape 3D is cheap (25 dollars), it's got a simple and basic interface, and it's perfect for point by point modeling.
GMax has more versitile features, including booleans and different extrusions. The interface is lacking, and because it's litterally had code deshelled from it's exterior, many things are unfunctional.

Anim8or suffers from GMax's unfunctionality, but offers it at a fraction of the file-size. Not only that, but it's got rendering capabilities. Anim8or is also free, but is mostly for getting used to 3D modeling.

Blender 3D, for me, was just simply aweful. Many other people can function with it, but I personally couldn't stand it (First modeling program I picked up). The interface just didn't feel right to me.

Wings 3D feels like some open source beta program, to me. Maybe because it is? It never worked propperly on my computer, but my computer sucks.
Now for the Expensives:

3DSMax Is by far my favorite of the expensives. It's got great rendering abilities, and my favorite interface. Creating scenes with it's object-related (very visual) coding menu is simply amazing. Even I was able to make a brick shatter like a real brick should! The modeling capabilities are also out of this world.

Maya is more of a rendering program. A lot of people use Maya WITH a modeling program, then apply special properties to meshes via Maya. Such as cloth, liquid, and physics. By far the better renderer, but is highly lacking in Modeling (I'm pretty sure it's mostly a spline editor, with a few simple booleans (Divide))

Lightwave is the lower end 3DSMax as far as rendering goes, but it's my favorite modeler. It's learning curve is steep, though. But perhaps that's what makes it the best modeler? It's functionality is composed of multiple viewports, multiple tabs, and multiple buttons. The interface, once learned, is astounding. My personal pick.

But, like many have said before: It's not the editor, it's the artist. Play with different programs to get a feel for it's layout and it's features. Sometimes the free programs are better than their more expensive counterparts because it works with YOUR style. That's why I'm still modeling with MS3D instead of lightwave (Which I legally own both :-D )