When I started 3d, it was making props, so I've grown with the habit of making an individual prop in 3ds max, and then arranging it in a scene in UDK. It took a long time for me to get out of the bsp habit! But I know this is a limited workflow and I've tried in the past to work on an environment as much as possible within Max before bringing it into an engine.
The trouble is, I find it really awkward to work with an environment in max. Primarily, the controls are a pain in the ass. I like being able to fly about in UDK and source, but I haven't been able to get the same controls in max. orbiting can be a pain too. Orbiting around one object with an entire street whirling about you is useless.
Scene management is annoying when things get too large also. Max gets slow faster than it really should, either due to many objects or just high polycounts...
The grid and snapping in max is... a love hate relationship. (ooh, Can anyone tell me how to have the grid spacing set to 16, 16 and 8 when I start max?)
So! Environment artists, how do you jiggle max to make it work for you in this setting?