FBX is the file format native to Autodesk MotionBuilder, a system used for the creation, editing, and blending of motion capture and keyframe animation. It is also the file format to use for sharing data with Autodesk Revit Architecture. You can import and export files in this format with 3ds Max.
Maya, Softimage, and Composite (previously known as Toxik) can also use the FBX format, making it a bridge among all these applications.
If you use the FBX format with Revit, you can find more information in this white paper.
The FBX plug-in changes often, with the result that Autodesk updates it more frequently than it does 3ds Max. Be sure to check regularly for updated versions by clicking the Web Updates button on the Import/Export dialog.