There are maxScripts that will generate secondary motion on bones as keyframes so that you can output it to a game engine. The good thing about the scripts is that you can always go back and tweak the bones' animation to achieve a loop.
We spent a lot of time getting Bloodrayne's dress simulate well. The Dress model has about 130 exported bones and about half of them are simulated realtime. If you want a loopable cloth simulation you'll need to use bones with reactor or a script as Fat said. Or you could just animate it.
It's an effect you're not likely to see if you're exporting to an engine that doesn't have cloth dynamics built in. So the cloth modifier in max should do well enough if you're doing portfolio renders and the like. A fun thing I've been playing around with in Maya is creating rag dolls and hooking up my character's IK to…